refactoring the code for pairs, models, strategy

configuration/new_zscore.cfg

@@ -0,0 +1,43 @@
+{
+    "market_data_loading": {
+        "CRYPTO": {
+            "data_directory": "./data/crypto",
+            "db_table_name": "md_1min_bars",
+            "instrument_id_pfx": "PAIR-",
+        },
+        "EQUITY": {
+            "data_directory": "./data/equity",
+            "db_table_name": "md_1min_bars",
+            "instrument_id_pfx": "STOCK-",
+        }
+    },
+
+    # ====== Funding ======
+    "funding_per_pair": 2000.0,
+    # ====== Trading Parameters ======
+    "stat_model_price": "close",
+    "execution_price": {
+        "column": "vwap",
+        "shift": 1,
+    },
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_size": 120,
+    "model_class": "pt_strategy.models.ZScoreOLSModel",
+    "model_data_policy_class": "pt_strategy.model_data_policy.RollingWindowDataPolicy",
+
+    # ====== Stop Conditions ======
+    "stop_close_conditions": {
+        "profit": 2.0,
+        "loss": -0.5
+    }
+
+    # ====== End of Session Closeout ======
+    # "close_outstanding_positions": true,
+    "close_outstanding_positions": false,
+    "trading_hours": {
+        "timezone": "America/New_York",
+        "begin_session": "7:30:00",
+        "end_session": "18:30:00",
+    }
+}

configuration/vecm.cfg

@@ -23,7 +23,8 @@
     },
     "dis-equilibrium_open_trshld": 2.0,
     "dis-equilibrium_close_trshld": 1.0,
-    "training_minutes": 120,
+    "training_minutes": 120, # TODO Remove this
+    "training_size": 120,
     "fit_method_class": "pt_trading.vecm_rolling_fit.VECMRollingFit",
 
     # ====== Stop Conditions ======
@@ -37,7 +38,7 @@
     # "close_outstanding_positions": false,
     "trading_hours": {
         "timezone": "America/New_York",
-        "begin_session": "9:30:00",
+        "begin_session": "7:30:00",
         "end_session": "18:30:00",
     }
 }

configuration/zscore.cfg

@@ -16,13 +16,14 @@
     "funding_per_pair": 2000.0,
     # ====== Trading Parameters ======
     "stat_model_price": "close",
-    "execution_price": {
+    # "execution_price": {
-        "column": "vwap",
+    #     "column": "vwap",
-        "shift": 1,
+    #     "shift": 1,
-    },
+    # },
     "dis-equilibrium_open_trshld": 2.0,
     "dis-equilibrium_close_trshld": 0.5,
-    "training_minutes": 120,
+    "training_minutes": 120, # TODO Remove this
+    "training_size": 120,
     "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
 
     # ====== Stop Conditions ======
@@ -36,7 +37,7 @@
     # "close_outstanding_positions": false,
     "trading_hours": {
         "timezone": "America/New_York",
-        "begin_session": "9:30:00",
+        "begin_session": "7:30:00",
         "end_session": "18:30:00",
     }
 }

configuration/zscore_expanding.cfg

@@ -0,0 +1,43 @@
+{
+    "market_data_loading": {
+        "CRYPTO": {
+            "data_directory": "./data/crypto",
+            "db_table_name": "md_1min_bars",
+            "instrument_id_pfx": "PAIR-",
+        },
+        "EQUITY": {
+            "data_directory": "./data/equity",
+            "db_table_name": "md_1min_bars",
+            "instrument_id_pfx": "STOCK-",
+        }
+    },
+
+    # ====== Funding ======
+    "funding_per_pair": 2000.0,
+    # ====== Trading Parameters ======
+    "stat_model_price": "close",
+    "execution_price": {
+        "column": "vwap",
+        "shift": 1,
+    },
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 120, # TODO Remove this
+    "training_size": 120,
+    "fit_method_class": "pt_trading.z-score_rolling_fit.ZScoreRollingFit",
+
+    # ====== Stop Conditions ======
+    "stop_close_conditions": {
+        "profit": 2.0,
+        "loss": -0.5
+    }
+
+    # ====== End of Session Closeout ======
+    "close_outstanding_positions": true,
+    # "close_outstanding_positions": false,
+    "trading_hours": {
+        "timezone": "America/New_York",
+        "begin_session": "9:30:00",
+        "end_session": "18:30:00",
+    }
+}

lib/pt_strategy/model_data_policy.py

@@ -0,0 +1,60 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from dataclasses import dataclass
+from enum import Enum
+from typing import Any, Dict, Optional, cast, Generator, List
+
+
+@dataclass
+class DataParams:
+    training_size: int
+    training_start_index: int
+        
+class ModelDataPolicy(ABC):
+    config_: Dict[str, Any]
+    current_data_params_: DataParams
+    
+    def __init__(self, config: Dict[str, Any]):
+        self.config_ = config
+        self.current_data_params_ = DataParams(
+            training_size=config.get("training_size", 120),
+            training_start_index=0,
+        )
+    
+    @abstractmethod
+    def advance(self) -> DataParams:
+        ...
+    
+    @staticmethod
+    def create(config: Dict[str, Any]) -> ModelDataPolicy:
+        import importlib
+        
+        model_data_policy_class_name = config.get("model_data_policy_class", None)
+        assert model_data_policy_class_name is not None
+        module_name, class_name = model_data_policy_class_name.rsplit(".", 1)
+        module = importlib.import_module(module_name)
+        model_training_data_policy_object = getattr(module, class_name)(config=config)
+        return cast(ModelDataPolicy, model_training_data_policy_object)
+
+class RollingWindowDataPolicy(ModelDataPolicy):
+    def __init__(self, config: Dict[str, Any]):
+        super().__init__(config)
+        self.count_ = 1
+        
+    def advance(self) -> DataParams:
+        self.current_data_params_.training_start_index += 1
+        print(self.count_, end='\r')
+        self.count_ += 1
+        return self.current_data_params_
+    
+    
+class ExpandingWindowDataPolicy(ModelDataPolicy):
+    def __init__(self, config: Dict[str, Any]):
+        super().__init__(config)
+        
+    def advance(self) -> DataParams:
+        self.current_data_params_.training_size += 1
+        return self.current_data_params_
+    
+

lib/pt_strategy/models.py

@@ -0,0 +1,53 @@
+from __future__ import annotations
+from typing import Optional
+
+import pandas as pd
+import statsmodels.api as sm
+
+
+
+from pt_strategy.pt_model import PairsTradingModel, Prediction
+from pt_strategy.trading_pair import TradingPair
+
+
+class ZScoreOLSModel(PairsTradingModel):
+    zscore_model_: Optional[sm.regression.linear_model.RegressionResultsWrapper]
+    pair_predict_result_: Optional[pd.DataFrame]
+    zscore_df_: Optional[pd.DataFrame]
+
+    def _fit_zscore(self, pair: TradingPair) -> pd.DataFrame:
+        assert self.training_df_ is not None
+        symbol_a_px_series = self.training_df_[pair.colnames()].iloc[:, 0].astype(float)
+        symbol_b_px_series = self.training_df_[pair.colnames()].iloc[:, 1].astype(float)
+
+        symbol_a_px_series, symbol_b_px_series = symbol_a_px_series.align(
+            symbol_b_px_series, axis=0
+        )
+
+        X = sm.add_constant(symbol_b_px_series)
+        self.zscore_model_ = sm.OLS(symbol_a_px_series, X).fit()
+        assert self.zscore_model_ is not None
+        hedge_ratio = self.zscore_model_.params.iloc[1]
+
+        spread = symbol_a_px_series - hedge_ratio * symbol_b_px_series
+        return pd.DataFrame((spread - spread.mean()) / spread.std())
+
+    def predict(self, pair: TradingPair) -> Prediction:
+        self.training_df_ = pair.market_data_.copy()
+
+        zscore_df = self._fit_zscore(pair=pair)
+
+        assert zscore_df is not None
+        # zscore is both disequilibrium and scaled_disequilibrium
+        self.training_df_["dis-equilibrium"] = zscore_df[0]
+        self.training_df_["scaled_dis-equilibrium"] = zscore_df[0]
+
+        assert zscore_df is not None
+        return Prediction(
+            tstamp_=pair.market_data_.index[-1],
+            disequilibrium_=self.training_df_["dis-equilibrium"].iloc[-1],
+            scaled_disequilibrium_=self.training_df_["scaled_dis-equilibrium"].iloc[-1],
+            pair_=pair,
+        )
+
+        

lib/pt_strategy/pt_market_data.py

@@ -0,0 +1,185 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from typing import Any, Dict, List, Type
+
+import pandas as pd
+
+from tools.data_loader import load_market_data
+
+
+class PtMarketData(ABC):
+    config_: Dict[str, Any]
+    origin_mkt_data_df_: pd.DataFrame
+    market_data_df_: pd.DataFrame
+
+    def __init__(self, config: Dict[str, Any]):
+        self.config_ = config
+        self.origin_mkt_data_df_ = pd.DataFrame()
+
+    @abstractmethod
+    def load(self) -> None:
+        ...
+
+
+    @abstractmethod
+    def has_next(self) -> bool:
+        ...
+    
+    @abstractmethod
+    def get_next(self) -> pd.Series:
+        ...
+
+        
+    @staticmethod
+    def create(config: Dict[str, Any], md_class: Type[PtMarketData]) -> PtMarketData:
+        return md_class(config)
+
+class ResearchMarketData(PtMarketData):
+    config_: Dict[str, Any]
+    current_index_: int
+    
+    is_execution_price_: bool
+    
+    def __init__(self, config: Dict[str, Any]):
+        super().__init__(config)
+        self.current_index_ = 0
+        self.is_execution_price_ = "execution_price" in self.config_
+        if self.is_execution_price_:
+            self.execution_price_column_ = self.config_["execution_price"]["column"]
+            self.execution_price_shift_ = self.config_["execution_price"]["shift"]
+        else:
+            self.execution_price_column_ = None
+            self.execution_price_shift_ = 0
+
+    def has_next(self) -> bool:
+        return self.current_index_ < len(self.market_data_df_)
+    
+    def get_next(self) -> pd.Series:
+        result = self.market_data_df_.iloc[self.current_index_]
+        self.current_index_ += 1    
+        return result
+    
+    def load(self) -> None:
+        datafiles: List[str] = self.config_.get("datafiles", [])
+        instruments: List[Dict[str, str]] = self.config_.get("instruments", [])
+        assert len(instruments) > 0, "No instruments found in config"
+        assert len(datafiles) > 0, "No datafiles found in config"
+        self.symbol_a_ = instruments[0]["symbol"]
+        self.symbol_b_ = instruments[1]["symbol"]
+        self.stat_model_price_ = self.config_["stat_model_price"]
+        
+        extra_minutes: int
+        extra_minutes = self.execution_price_shift_
+        
+        for datafile in datafiles:
+            md_df = load_market_data(
+                datafile=datafile,
+                instruments=instruments,
+                db_table_name=self.config_["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"],
+                trading_hours=self.config_["trading_hours"],
+                extra_minutes=extra_minutes,
+            )
+            self.origin_mkt_data_df_ = pd.concat([self.origin_mkt_data_df_, md_df])
+
+        self._set_market_data()
+        
+    def _set_market_data(self, ) -> None:
+        if self.is_execution_price_:
+            self.market_data_df_ = pd.DataFrame(
+                self._transform_dataframe(self.origin_mkt_data_df_)[["tstamp"] + self.colnames() + self.orig_exec_prices_colnames()]
+            )
+        else:
+            self.market_data_df_ = pd.DataFrame(
+                self._transform_dataframe(self.origin_mkt_data_df_)[["tstamp"] + self.colnames()]
+            )
+
+        self.market_data_df_ = self.market_data_df_.dropna().reset_index(drop=True)
+        self.market_data_df_["tstamp"] = pd.to_datetime(self.market_data_df_["tstamp"])
+        self.market_data_df_ = self.market_data_df_.sort_values("tstamp")
+        self._set_execution_price_data()
+
+    def _transform_dataframe(self, df: pd.DataFrame) -> pd.DataFrame:
+        df_selected: pd.DataFrame
+        if self.is_execution_price_:
+            execution_price_column = self.config_["execution_price"]["column"]
+
+            df_selected = pd.DataFrame(
+                df[["tstamp", "symbol", self.stat_model_price_, execution_price_column]]
+            )
+        else:
+            df_selected = pd.DataFrame(
+                df[["tstamp", "symbol", self.stat_model_price_]]
+            )
+
+        result_df = pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
+
+        # For each unique symbol, add a corresponding stat_model_price column
+        symbols = df_selected["symbol"].unique()
+
+
+        
+        for symbol in symbols:
+            # Filter rows for this symbol
+            df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(
+                drop=True
+            )
+
+            # Create column name like "close-COIN"
+            new_price_column = f"{self.stat_model_price_}_{symbol}"
+            if self.is_execution_price_:
+                new_execution_price_column = f"{self.execution_price_column_}_{symbol}"
+
+            # Create temporary dataframe with timestamp and price
+                temp_df = pd.DataFrame(
+                    {
+                        "tstamp": df_symbol["tstamp"],
+                        new_price_column: df_symbol[self.stat_model_price_],
+                        new_execution_price_column: df_symbol[execution_price_column],
+                    }
+                )
+            else:
+                temp_df = pd.DataFrame(
+                    {
+                        "tstamp": df_symbol["tstamp"],
+                        new_price_column: df_symbol[self.stat_model_price_],
+                    }
+                )
+
+            # Join with our result dataframe
+            result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
+            result_df = result_df.reset_index(
+                drop=True
+            )  # do not dropna() since irrelevant symbol would affect dataset
+
+        return result_df.dropna()
+
+    def _set_execution_price_data(self) -> None:
+        if "execution_price" not in self.config_:
+            self.market_data_df_[f"exec_price_{self.symbol_a_}"] = self.market_data_df_[f"{self.stat_model_price_}_{self.symbol_a_}"]
+            self.market_data_df_[f"exec_price_{self.symbol_b_}"] = self.market_data_df_[f"{self.stat_model_price_}_{self.symbol_b_}"]
+            return
+        execution_price_column = self.config_["execution_price"]["column"]
+        execution_price_shift = self.config_["execution_price"]["shift"]
+        self.market_data_df_[f"exec_price_{self.symbol_a_}"] = self.market_data_df_[f"{execution_price_column}_{self.symbol_a_}"].shift(-execution_price_shift)
+        self.market_data_df_[f"exec_price_{self.symbol_b_}"] = self.market_data_df_[f"{execution_price_column}_{self.symbol_b_}"].shift(-execution_price_shift)
+        self.market_data_df_ = self.market_data_df_.dropna().reset_index(drop=True)
+
+    def colnames(self) -> List[str]:
+        return [
+            f"{self.stat_model_price_}_{self.symbol_a_}",
+            f"{self.stat_model_price_}_{self.symbol_b_}",
+        ]
+
+    def orig_exec_prices_colnames(self) -> List[str]:
+        return [
+            f"{self.execution_price_column_}_{self.symbol_a_}",
+            f"{self.execution_price_column_}_{self.symbol_b_}",
+        ]
+
+    def exec_prices_colnames(self) -> List[str]:
+        return [
+            f"exec_price_{self.symbol_a_}",
+            f"exec_price_{self.symbol_b_}",
+        ]
+

lib/pt_strategy/pt_model.py

@@ -0,0 +1,48 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from dataclasses import dataclass
+from enum import Enum
+from typing import Any, Dict, Optional, cast, Generator, List
+
+import pandas as pd
+
+from pt_strategy.trading_pair import TradingPair
+
+@dataclass
+class Prediction:
+    tstamp_: pd.Timestamp
+    disequilibrium_: float
+    scaled_disequilibrium_: float
+    pair_: TradingPair
+
+    def to_dict(self) -> Dict[str, Any]:
+        return {
+            "tstamp": self.tstamp_,
+            "disequilibrium": self.disequilibrium_,
+            "signed_scaled_disequilibrium": self.scaled_disequilibrium_,
+            "scaled_disequilibrium": abs(self.scaled_disequilibrium_),
+            "pair": self.pair_,
+        }
+    def to_pd_series(self) -> pd.Series:
+        return pd.DataFrame([self.to_dict()]).iloc[0]
+    
+class PairsTradingModel(ABC):
+
+    @abstractmethod
+    def predict(self, pair: TradingPair) -> Prediction:
+        ...
+    
+    @staticmethod
+    def create(config: Dict[str, Any]) -> PairsTradingModel:
+        import importlib
+        
+        model_class_name = config.get("model_class", None)
+        assert model_class_name is not None
+        module_name, class_name = model_class_name.rsplit(".", 1)
+        module = importlib.import_module(module_name)
+        model_object = getattr(module, class_name)()
+        return cast(PairsTradingModel, model_object)
+
+        
+

lib/pt_strategy/results.py

@@ -0,0 +1,580 @@
+import os
+import sqlite3
+from datetime import date, datetime
+from typing import Any, Dict, List, Optional, Tuple
+
+import pandas as pd
+from pt_trading.trading_pair import TradingPair
+
+
+# Recommended replacement adapters and converters for Python 3.12+
+# From: https://docs.python.org/3/library/sqlite3.html#sqlite3-adapter-converter-recipes
+def adapt_date_iso(val: date) -> str:
+    """Adapt datetime.date to ISO 8601 date."""
+    return val.isoformat()
+
+
+def adapt_datetime_iso(val: datetime) -> str:
+    """Adapt datetime.datetime to timezone-naive ISO 8601 date."""
+    return val.isoformat()
+
+
+def convert_date(val: bytes) -> date:
+    """Convert ISO 8601 date to datetime.date object."""
+    return datetime.fromisoformat(val.decode()).date()
+
+
+def convert_datetime(val: bytes) -> datetime:
+    """Convert ISO 8601 datetime to datetime.datetime object."""
+    return datetime.fromisoformat(val.decode())
+
+
+# Register the adapters and converters
+sqlite3.register_adapter(date, adapt_date_iso)
+sqlite3.register_adapter(datetime, adapt_datetime_iso)
+sqlite3.register_converter("date", convert_date)
+sqlite3.register_converter("datetime", convert_datetime)
+
+
+def create_result_database(db_path: str) -> None:
+    """
+    Create the SQLite database and required tables if they don't exist.
+    """
+    try:
+        # Create directory if it doesn't exist
+        db_dir = os.path.dirname(db_path)
+        if db_dir and not os.path.exists(db_dir):
+            os.makedirs(db_dir, exist_ok=True)
+            print(f"Created directory: {db_dir}")
+
+        conn = sqlite3.connect(db_path)
+        cursor = conn.cursor()
+
+        # Create the pt_bt_results table for completed trades
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS pt_bt_results (
+                date DATE,
+                pair TEXT,
+                symbol TEXT,
+                open_time DATETIME,
+                open_side TEXT,
+                open_price REAL,
+                open_quantity INTEGER,
+                open_disequilibrium REAL,
+                close_time DATETIME,
+                close_side TEXT,
+                close_price REAL,
+                close_quantity INTEGER,
+                close_disequilibrium REAL,
+                symbol_return REAL,
+                pair_return REAL,
+                close_condition TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM pt_bt_results;")
+
+        # Create the outstanding_positions table for open positions
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS outstanding_positions (
+                date DATE,
+                pair TEXT,
+                symbol TEXT,
+                position_quantity REAL,
+                last_price REAL,
+                unrealized_return REAL,
+                open_price REAL,
+                open_side TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM outstanding_positions;")
+
+        # Create the config table for storing configuration JSON for reference
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS config (
+                id INTEGER PRIMARY KEY AUTOINCREMENT,
+                run_timestamp DATETIME,
+                config_file_path TEXT,
+                config_json TEXT,
+                datafiles TEXT,
+                instruments TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM config;")
+
+        conn.commit()
+        conn.close()
+
+    except Exception as e:
+        print(f"Error creating result database: {str(e)}")
+        raise
+
+
+def store_config_in_database(
+    db_path: str,
+    config_file_path: str,
+    config: Dict,
+    datafiles: List[Tuple[str, str]],
+    instruments: List[Dict[str, str]],
+) -> None:
+    """
+    Store configuration information in the database for reference.
+    """
+    import json
+
+    if db_path.upper() == "NONE":
+        return
+
+    try:
+        conn = sqlite3.connect(db_path)
+        cursor = conn.cursor()
+
+        # Convert config to JSON string
+        config_json = json.dumps(config, indent=2, default=str)
+
+        # Convert lists to comma-separated strings for storage
+        datafiles_str = ", ".join([f"{datafile}" for _, datafile in datafiles])
+        instruments_str = ", ".join(
+            [
+                f"{inst['symbol']}:{inst['instrument_type']}:{inst['exchange_id']}"
+                for inst in instruments
+            ]
+        )
+
+        # Insert configuration record
+        cursor.execute(
+            """
+            INSERT INTO config (
+                run_timestamp, config_file_path, config_json, datafiles, instruments
+            ) VALUES (?, ?, ?, ?, ?)
+        """,
+            (
+                datetime.now(),
+                config_file_path,
+                config_json,
+                datafiles_str,
+                instruments_str,
+            ),
+        )
+
+        conn.commit()
+        conn.close()
+
+        print(f"Configuration stored in database")
+
+    except Exception as e:
+        print(f"Error storing configuration in database: {str(e)}")
+        import traceback
+
+        traceback.print_exc()
+
+
+def convert_timestamp(timestamp: Any) -> Optional[datetime]:
+    """Convert pandas Timestamp to Python datetime object for SQLite compatibility."""
+    if timestamp is None:
+        return None
+    if isinstance(timestamp, pd.Timestamp):
+        return timestamp.to_pydatetime()
+    elif isinstance(timestamp, datetime):
+        return timestamp
+    elif isinstance(timestamp, date):
+        return datetime.combine(timestamp, datetime.min.time())
+    elif isinstance(timestamp, str):
+        return datetime.strptime(timestamp, "%Y-%m-%d %H:%M:%S")
+    elif isinstance(timestamp, int):
+        return datetime.fromtimestamp(timestamp)
+    else:
+        raise ValueError(f"Unsupported timestamp type: {type(timestamp)}")
+
+
+
+DayT = str
+TradeT = Dict[str, Any]
+OutstandingPositionT = List[Dict[str, Any]]
+class PairResearchResult:
+    """
+    Class to handle pair research results for a single pair across multiple days.
+    Simplified version of BacktestResult focused on single pair analysis.
+    """
+    trades_: Dict[DayT, pd.DataFrame]
+    outstanding_positions_: Dict[DayT, OutstandingPositionT]
+
+    def __init__(self, config: Dict[str, Any]) -> None:
+        self.config_ = config
+        self.trades_ = {}
+        self.outstanding_positions_ = {}
+        self.total_realized_pnl = 0.0
+        self.symbol_roundtrip_trades_: Dict[str, List[Dict[str, Any]]] = {}
+
+    def add_day_results(self, day: DayT, trades: pd.DataFrame, outstanding_positions: List[Dict[str, Any]]) -> None:
+        assert isinstance(trades, pd.DataFrame)
+        self.trades_[day] = trades
+        self.outstanding_positions_[day] = outstanding_positions
+
+    @property
+    def all_trades(self) -> List[TradeT]:
+        """Get all trades across all days as a flat list."""
+        all_trades_list = []
+        for day_trades in self.trades_.values():
+            all_trades_list.extend(day_trades)
+        return all_trades_list
+    
+    @property
+    def outstanding_positions(self) -> List[OutstandingPositionT]:
+        """Get all outstanding positions across all days as a flat list."""
+        all_positions = []
+        for day_positions in self.outstanding_positions_.values():
+            all_positions.extend(day_positions)
+        return all_positions
+
+    
+    def calculate_returns(self) -> None:
+        """Calculate and store total returns for the single pair across all days."""
+        roundtrip_trades = self.extract_roundtrip_trades()
+        
+        self.total_realized_pnl = 0.0
+        
+        for day, day_trades in roundtrip_trades.items():
+            for trade in day_trades:
+                self.total_realized_pnl += trade['symbol_return']
+    
+    def extract_roundtrip_trades(self) -> Dict[str, List[Dict[str, Any]]]:
+        """
+        Extract round-trip trades by day, grouping open/close pairs for each symbol.
+        Returns a dictionary with day as key and list of completed round-trip trades.
+        """
+        roundtrip_trades_by_day = {}
+        
+        def _symbol_return(trade1_side: str, trade1_px: float, trade2_side: str, trade2_px: float) -> float:
+            if trade1_side == "BUY" and trade2_side == "SELL":
+                return (trade2_px - trade1_px) / trade1_px * 100
+            elif trade1_side == "SELL" and trade2_side == "BUY":
+                return (trade1_px - trade2_px) / trade1_px * 100
+            else:
+                return 0
+        
+        # Process each day separately
+        for day, day_trades in self.trades_.items():
+            if not day_trades or len(day_trades) < 4:
+                continue
+                
+            # Sort trades by timestamp for the day
+            sorted_trades = sorted(day_trades, key=lambda x: x["timestamp"] if x["timestamp"] else pd.Timestamp.min)
+            
+            day_roundtrips = []
+            
+            # Process trades in groups of 4 (open A, open B, close A, close B)
+            for idx in range(0, len(sorted_trades), 4):
+                if idx + 3 >= len(sorted_trades):
+                    break
+                    
+                trade_a_1 = sorted_trades[idx]      # Open A
+                trade_b_1 = sorted_trades[idx + 1]  # Open B  
+                trade_a_2 = sorted_trades[idx + 2]  # Close A
+                trade_b_2 = sorted_trades[idx + 3]  # Close B
+                
+                # Validate trade sequence
+                if not (trade_a_1["action"] == "OPEN" and trade_a_2["action"] == "CLOSE"):
+                    continue
+                if not (trade_b_1["action"] == "OPEN" and trade_b_2["action"] == "CLOSE"):
+                    continue
+                    
+                # Calculate individual symbol returns
+                symbol_a_return = _symbol_return(
+                    trade_a_1["side"], trade_a_1["price"], 
+                    trade_a_2["side"], trade_a_2["price"]
+                )
+                symbol_b_return = _symbol_return(
+                    trade_b_1["side"], trade_b_1["price"], 
+                    trade_b_2["side"], trade_b_2["price"]
+                )
+                
+                pair_return = symbol_a_return + symbol_b_return
+                
+                # Create round-trip records for both symbols
+                funding_per_position = self.config_.get("funding_per_pair", 10000) / 2
+                
+                # Symbol A round-trip
+                day_roundtrips.append({
+                    "symbol": trade_a_1["symbol"],
+                    "open_side": trade_a_1["side"],
+                    "open_price": trade_a_1["price"],
+                    "open_time": trade_a_1["timestamp"],
+                    "close_side": trade_a_2["side"],
+                    "close_price": trade_a_2["price"],
+                    "close_time": trade_a_2["timestamp"],
+                    "symbol_return": symbol_a_return,
+                    "pair_return": pair_return,
+                    "shares": funding_per_position / trade_a_1["price"],
+                    "close_condition": trade_a_2.get("status", "UNKNOWN"),
+                    "open_disequilibrium": trade_a_1.get("disequilibrium"),
+                    "close_disequilibrium": trade_a_2.get("disequilibrium"),
+                })
+                
+                # Symbol B round-trip
+                day_roundtrips.append({
+                    "symbol": trade_b_1["symbol"],
+                    "open_side": trade_b_1["side"],
+                    "open_price": trade_b_1["price"],
+                    "open_time": trade_b_1["timestamp"],
+                    "close_side": trade_b_2["side"],
+                    "close_price": trade_b_2["price"],
+                    "close_time": trade_b_2["timestamp"],
+                    "symbol_return": symbol_b_return,
+                    "pair_return": pair_return,
+                    "shares": funding_per_position / trade_b_1["price"],
+                    "close_condition": trade_b_2.get("status", "UNKNOWN"),
+                    "open_disequilibrium": trade_b_1.get("disequilibrium"),
+                    "close_disequilibrium": trade_b_2.get("disequilibrium"),
+                })
+            
+            if day_roundtrips:
+                roundtrip_trades_by_day[day] = day_roundtrips
+                
+        return roundtrip_trades_by_day
+    
+    def print_returns_by_day(self) -> None:
+        """
+        Print detailed return information for each day, grouped by day.
+        Shows individual symbol round-trips and daily totals.
+        """
+        roundtrip_trades = self.extract_roundtrip_trades()
+        
+        if not roundtrip_trades:
+            print("\n====== NO ROUND-TRIP TRADES FOUND ======")
+            return
+        
+        print("\n====== PAIR RESEARCH RETURNS BY DAY ======")
+        
+        total_return_all_days = 0.0
+        
+        for day in sorted(roundtrip_trades.keys()):
+            day_trades = roundtrip_trades[day]
+            
+            print(f"\n--- {day} ---")
+            
+            day_total_return = 0.0
+            pair_returns = []
+            
+            # Group trades by pair (every 2 trades form a pair)
+            for i in range(0, len(day_trades), 2):
+                if i + 1 < len(day_trades):
+                    trade_a = day_trades[i]
+                    trade_b = day_trades[i + 1]
+                    
+                    # Print individual symbol results
+                    print(f"  {trade_a['open_time'].time()}-{trade_a['close_time'].time()}")
+                    print(f"    {trade_a['symbol']}: {trade_a['open_side']} @ ${trade_a['open_price']:.2f} → "
+                          f"{trade_a['close_side']} @ ${trade_a['close_price']:.2f} | "
+                          f"Return: {trade_a['symbol_return']:+.2f}% | Shares: {trade_a['shares']:.2f}")
+                    
+                    print(f"    {trade_b['symbol']}: {trade_b['open_side']} @ ${trade_b['open_price']:.2f} → "
+                          f"{trade_b['close_side']} @ ${trade_b['close_price']:.2f} | "
+                          f"Return: {trade_b['symbol_return']:+.2f}% | Shares: {trade_b['shares']:.2f}")
+                    
+                    # Show disequilibrium info if available
+                    if trade_a.get('open_disequilibrium') is not None:
+                        print(f"    Disequilibrium: Open: {trade_a['open_disequilibrium']:.4f}, "
+                              f"Close: {trade_a['close_disequilibrium']:.4f}")
+                    
+                    pair_return = trade_a['pair_return']
+                    print(f"    Pair Return: {pair_return:+.2f}% | Close Condition: {trade_a['close_condition']}")
+                    print()
+                    
+                    pair_returns.append(pair_return)
+                    day_total_return += pair_return
+            
+            print(f"  Day Total Return: {day_total_return:+.2f}% ({len(pair_returns)} pairs)")
+            total_return_all_days += day_total_return
+        
+        print(f"\n====== TOTAL RETURN ACROSS ALL DAYS ======")
+        print(f"Total Return: {total_return_all_days:+.2f}%")
+        print(f"Total Days: {len(roundtrip_trades)}")
+        if len(roundtrip_trades) > 0:
+            print(f"Average Daily Return: {total_return_all_days / len(roundtrip_trades):+.2f}%")
+    
+    def get_return_summary(self) -> Dict[str, Any]:
+        """
+        Get a summary of returns across all days.
+        Returns a dictionary with key metrics.
+        """
+        roundtrip_trades = self.extract_roundtrip_trades()
+        
+        if not roundtrip_trades:
+            return {
+                "total_return": 0.0,
+                "total_days": 0,
+                "total_pairs": 0,
+                "average_daily_return": 0.0,
+                "best_day": None,
+                "worst_day": None,
+                "daily_returns": {}
+            }
+        
+        daily_returns = {}
+        total_return = 0.0
+        total_pairs = 0
+        
+        for day, day_trades in roundtrip_trades.items():
+            day_return = 0.0
+            day_pairs = len(day_trades) // 2  # Each pair has 2 symbol trades
+            
+            for trade in day_trades:
+                day_return += trade['symbol_return']
+            
+            daily_returns[day] = {
+                "return": day_return,
+                "pairs": day_pairs
+            }
+            total_return += day_return
+            total_pairs += day_pairs
+        
+        best_day = max(daily_returns.items(), key=lambda x: x[1]["return"]) if daily_returns else None
+        worst_day = min(daily_returns.items(), key=lambda x: x[1]["return"]) if daily_returns else None
+        
+        return {
+            "total_return": total_return,
+            "total_days": len(roundtrip_trades),
+            "total_pairs": total_pairs,
+            "average_daily_return": total_return / len(roundtrip_trades) if roundtrip_trades else 0.0,
+            "best_day": best_day,
+            "worst_day": worst_day,
+            "daily_returns": daily_returns
+        }
+    
+    def print_single_day_results(self) -> None:
+        """Print results for all processed days."""
+        all_trades_list = self.all_trades
+        if not all_trades_list:
+            print("No trades found.")
+            return
+            
+        print(f"Total trades processed: {len(all_trades_list)}")
+        
+        # Group trades by day
+        trades_by_day: Dict[str, List[Dict[str, Any]]] = {}
+        for trade in all_trades_list:
+            if trade["timestamp"]:
+                day = trade["timestamp"].date()
+                if day not in trades_by_day:
+                    trades_by_day[day] = []
+                trades_by_day[day].append(trade)
+        
+        for day, day_trades in sorted(trades_by_day.items()):
+            print(f"\n--- {day} ---")
+            for trade in day_trades:
+                print(f"  {trade['timestamp'].time() if trade['timestamp'] else 'N/A'}: "
+                      f"{trade['symbol']} {trade['side']} {trade['action']} @ ${trade['price']:.2f} "
+                      f"({trade['status']})")
+    
+    def print_grand_totals(self) -> None:
+        """Print grand totals for the single pair analysis."""
+        summary = self.get_return_summary()
+        
+        print(f"\n====== PAIR RESEARCH GRAND TOTALS ======")
+        print(f"Total Return: {summary['total_return']:+.2f}%")
+        print(f"Total Days Traded: {summary['total_days']}")
+        print(f"Total Pair Trades: {summary['total_pairs']}")
+        
+        if summary['total_days'] > 0:
+            print(f"Average Daily Return: {summary['average_daily_return']:+.2f}%")
+        
+        if summary['best_day']:
+            best_day, best_data = summary['best_day']
+            print(f"Best Day: {best_day} ({best_data['return']:+.2f}%)")
+        
+        if summary['worst_day']:
+            worst_day, worst_data = summary['worst_day']
+            print(f"Worst Day: {worst_day} ({worst_data['return']:+.2f}%)")
+        
+        # Update the total_realized_pnl for backward compatibility
+        self.total_realized_pnl = summary['total_return']
+    
+    def analyze_pair_performance(self) -> None:
+        """
+        Main method to perform comprehensive pair research analysis.
+        Extracts round-trip trades, calculates returns, groups by day, and prints results.
+        """
+        print(f"\n{'='*60}")
+        print(f"PAIR RESEARCH PERFORMANCE ANALYSIS")
+        print(f"{'='*60}")
+        
+        # Calculate returns first
+        self.calculate_returns()
+        
+        # Print detailed returns by day
+        self.print_returns_by_day()
+        
+        # Print outstanding positions if any
+        self.print_outstanding_positions()
+        
+        # Print grand totals
+        self.print_grand_totals()
+        
+        # Print additional analysis
+        self._print_additional_metrics()
+    
+    def _print_additional_metrics(self) -> None:
+        """Print additional performance metrics."""
+        summary = self.get_return_summary()
+        
+        if summary['total_days'] == 0:
+            return
+        
+        print(f"\n====== ADDITIONAL METRICS ======")
+        
+        # Calculate win rate
+        winning_days = sum(1 for day_data in summary['daily_returns'].values() if day_data['return'] > 0)
+        win_rate = (winning_days / summary['total_days']) * 100
+        print(f"Winning Days: {winning_days}/{summary['total_days']} ({win_rate:.1f}%)")
+        
+        # Calculate average trade return
+        if summary['total_pairs'] > 0:
+            # Each pair has 2 symbol trades, so total symbol trades = total_pairs * 2
+            total_symbol_trades = summary['total_pairs'] * 2
+            avg_symbol_return = summary['total_return'] / total_symbol_trades
+            print(f"Average Symbol Return: {avg_symbol_return:+.2f}%")
+            
+            avg_pair_return = summary['total_return'] / summary['total_pairs'] / 2  # Divide by 2 since we sum both symbols
+            print(f"Average Pair Return: {avg_pair_return:+.2f}%")
+        
+        # Show daily return distribution
+        daily_returns_list = [data['return'] for data in summary['daily_returns'].values()]
+        if daily_returns_list:
+            print(f"Daily Return Range: {min(daily_returns_list):+.2f}% to {max(daily_returns_list):+.2f}%")
+        
+    
+    def print_outstanding_positions(self) -> None:
+        """Print outstanding positions for the single pair."""
+        all_positions = self.outstanding_positions
+        if not all_positions:
+            print("\n====== NO OUTSTANDING POSITIONS ======")
+            return
+            
+        print(f"\n====== OUTSTANDING POSITIONS ======")
+        print(f"{'Symbol':<10} {'Side':<4} {'Shares':<10} {'Open $':<8} {'Current $':<10} {'Value $':<12}")
+        print("-" * 70)
+        
+        total_value = 0.0
+        for pos in all_positions:
+            current_value = pos.get("last_value", 0.0)
+            print(f"{pos['symbol']:<10} {pos['open_side']:<4} {pos['shares']:<10.2f} "
+                  f"{pos['open_px']:<8.2f} {pos['last_px']:<10.2f} {current_value:<12.2f}")
+            total_value += current_value
+        
+        print("-" * 70)
+        print(f"{'TOTAL VALUE':<60} ${total_value:<12.2f}")
+    
+    def get_total_realized_pnl(self) -> float:
+        """Get total realized PnL."""
+        return self.total_realized_pnl
+    
+    def get_outstanding_positions(self) -> List[Dict[str, Any]]:
+        """Get outstanding positions."""
+        return self.outstanding_positions
+

lib/pt_strategy/trading_pair.py

@@ -0,0 +1,170 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from datetime import datetime
+from enum import Enum
+from typing import Any, Dict, Optional, Type, cast, Generator, List
+
+import pandas as pd
+
+from pt_strategy.model_data_policy import DataParams
+
+
+class PairState(Enum):
+    INITIAL = 1
+    OPEN = 2
+    CLOSE = 3
+    CLOSE_POSITION = 4
+    CLOSE_STOP_LOSS = 5
+    CLOSE_STOP_PROFIT = 6
+
+class TradingPair:
+    config_: Dict[str, Any]
+    market_data_: pd.DataFrame
+    symbol_a_: str
+    symbol_b_: str
+    
+    stat_model_price_: str
+    model_: PairsTradingModel # type: ignore[assignment]
+    model_tdp_: ModelDataPolicy # type: ignore[assignment]
+    
+    user_data_: Dict[str, Any]
+
+    def __init__(
+        self,
+        config: Dict[str, Any],
+        instruments: List[Dict[str, str]],
+    ):
+        
+        from pt_strategy.model_data_policy import ModelDataPolicy
+        from pt_strategy.pt_model import PairsTradingModel
+        assert len(instruments) == 2, "Trading pair must have exactly 2 instruments"
+        
+        self.config_ = config
+        self.symbol_a_ = instruments[0]["symbol"]
+        self.symbol_b_ = instruments[1]["symbol"]
+        self.model_ = PairsTradingModel.create(config)
+        self.model_tdp_ = ModelDataPolicy.create(config)
+        self.stat_model_price_ = config["stat_model_price"]
+        self.user_data_ = {
+            "state": PairState.INITIAL,
+        }
+
+    def colnames(self) -> List[str]:
+        return [
+            f"{self.stat_model_price_}_{self.symbol_a_}",
+            f"{self.stat_model_price_}_{self.symbol_b_}",
+        ]
+
+    def exec_prices_colnames(self) -> List[str]:
+        return [
+            f"exec_price_{self.symbol_a_}",
+            f"exec_price_{self.symbol_b_}",
+        ]
+
+    def to_stop_close_conditions(self, predicted_row: pd.Series) -> bool:
+        config = self.config_
+        if (
+            "stop_close_conditions" not in config
+            or config["stop_close_conditions"] is None
+        ):
+            return False
+        if "profit" in config["stop_close_conditions"]:
+            current_return = self._current_return(predicted_row)
+            #
+            # print(f"time={predicted_row['tstamp']} current_return={current_return}")
+            #
+            if current_return >= config["stop_close_conditions"]["profit"]:
+                print(f"STOP PROFIT: {current_return}")
+                self.user_data_["stop_close_state"] = PairState.CLOSE_STOP_PROFIT
+                return True
+        if "loss" in config["stop_close_conditions"]:
+            if current_return <= config["stop_close_conditions"]["loss"]:
+                print(f"STOP LOSS: {current_return}")
+                self.user_data_["stop_close_state"] = PairState.CLOSE_STOP_LOSS
+                return True
+        return False
+
+    def _current_return(self, predicted_row: pd.Series) -> float:
+        if "open_trades" in self.user_data_:
+            open_trades = self.user_data_["open_trades"]
+            if len(open_trades) == 0:
+                return 0.0
+
+            def _single_instrument_return(symbol: str) -> float:
+                instrument_open_trades = open_trades[open_trades["symbol"] == symbol]
+                instrument_open_price = instrument_open_trades["price"].iloc[0]
+
+                sign = -1 if instrument_open_trades["side"].iloc[0] == "SELL" else 1
+                instrument_price = predicted_row[f"{self.stat_model_price_}_{symbol}"]
+                instrument_return = (
+                    sign
+                    * (instrument_price - instrument_open_price)
+                    / instrument_open_price
+                )
+                return float(instrument_return) * 100.0
+
+            instrument_a_return = _single_instrument_return(self.symbol_a_)
+            instrument_b_return = _single_instrument_return(self.symbol_b_)
+            return instrument_a_return + instrument_b_return
+        return 0.0
+
+    def on_open_trades(self, trades: pd.DataFrame) -> None:
+        if "close_trades" in self.user_data_:
+            del self.user_data_["close_trades"]
+        self.user_data_["open_trades"] = trades
+
+    def on_close_trades(self, trades: pd.DataFrame) -> None:
+        del self.user_data_["open_trades"]
+        self.user_data_["close_trades"] = trades
+
+    def add_outstanding_position(
+        self,
+        symbol: str,
+        open_side: str,
+        open_px: float,
+        open_tstamp: datetime,
+        last_mkt_data_row: pd.Series,
+    ) -> None:
+        assert symbol in [self.symbol_a_, self.symbol_b_], "Symbol must be one of the pair's symbols"
+        assert open_side in ["BUY", "SELL"], "Open side must be either BUY or SELL"
+        assert open_px > 0, "Open price must be greater than 0"
+        assert open_tstamp is not None, "Open timestamp must be provided"
+        assert last_mkt_data_row is not None, "Last market data row must be provided"
+        
+        exec_prices_col_a, exec_prices_col_b = self.exec_prices_colnames()
+        if symbol == self.symbol_a_:
+            last_px = last_mkt_data_row[exec_prices_col_a]
+        else:
+            last_px = last_mkt_data_row[exec_prices_col_b]
+            
+
+        funding_per_position = self.config_["funding_per_pair"] / 2
+        shares = funding_per_position / open_px
+        if open_side == "SELL":
+            shares = -shares
+            
+        if "outstanding_positions" not in self.user_data_:
+            self.user_data_["outstanding_positions"] = []
+
+        self.user_data_["outstanding_positions"].append({
+            "symbol": symbol,
+            "open_side": open_side,
+            "open_px": open_px,
+            "shares": shares,
+            "open_tstamp": open_tstamp,
+            "last_px": last_px,
+            "last_tstamp": last_mkt_data_row["tstamp"],
+            "last_value": last_px * shares,
+        })
+
+
+    def run(self, market_data: pd.DataFrame, data_params: DataParams) -> Prediction: # type: ignore[assignment]
+        self.market_data_ = market_data[data_params.training_start_index:data_params.training_start_index + data_params.training_size]
+        return self.model_.predict(pair=self)
+
+        while self.model_tdp_.has_next_training_data():
+            training_data = self.model_tdp_.get_next_training_data()
+
+
+        

lib/pt_strategy/trading_strategy.py

@@ -0,0 +1,416 @@
+from __future__ import annotations
+
+import os
+from abc import ABC, abstractmethod
+from enum import Enum
+from typing import Any, Dict, Generator, List, Optional, Type, cast
+
+import pandas as pd
+from pt_strategy.model_data_policy import ModelDataPolicy
+from pt_strategy.pt_market_data import PtMarketData
+from pt_strategy.pt_model import Prediction
+from pt_strategy.results import (
+    PairResearchResult,
+    create_result_database,
+    store_config_in_database,
+)
+from pt_strategy.trading_pair import PairState, TradingPair
+from tools.filetools import resolve_datafiles
+from tools.instruments import get_instruments
+
+
+class PtResearchStrategy:
+    config_: Dict[str, Any]
+    trading_pair_: TradingPair
+    model_data_policy_: ModelDataPolicy
+    pt_mkt_data_: PtMarketData
+
+    trades_: List[pd.DataFrame]
+
+    def __init__(
+        self,
+        config: Dict[str, Any],
+        datafiles: List[str],
+        instruments: List[Dict[str, str]],
+    ):
+        from pt_strategy.model_data_policy import ModelDataPolicy
+        from pt_strategy.pt_market_data import PtMarketData, ResearchMarketData
+        from pt_strategy.trading_pair import TradingPair
+
+        self.config_ = config
+        self.trades_ = []
+        self.trading_pair_ = TradingPair(config=config, instruments=instruments)
+        self.model_data_policy_ = ModelDataPolicy.create(config)
+
+        import copy
+
+        # modified config must be passed to PtMarketData
+        config_copy = copy.deepcopy(config)
+        config_copy["instruments"] = instruments
+        config_copy["datafiles"] = datafiles
+        self.pt_mkt_data_ = PtMarketData.create(
+            config=config_copy, md_class=ResearchMarketData
+        )
+        self.pt_mkt_data_.load()
+
+    def outstanding_positions(self) -> List[Dict[str, Any]]:
+        return list(self.trading_pair_.user_data_.get("outstanding_positions", []))
+
+    def run(self) -> None:
+        training_minutes = self.config_.get("training_minutes", 120)
+        market_data_series: pd.Series
+        market_data_df = pd.DataFrame()
+
+        idx = 0
+        while self.pt_mkt_data_.has_next():
+            market_data_series = self.pt_mkt_data_.get_next()
+            market_data_df = pd.concat(
+                [market_data_df, market_data_series.to_frame().T], ignore_index=True
+            )
+            if idx >= training_minutes:
+                break
+            idx += 1
+
+        assert idx >= training_minutes, "Not enough training data"
+
+        while self.pt_mkt_data_.has_next():
+
+            market_data_series = self.pt_mkt_data_.get_next()
+            new_row = market_data_series.to_frame().T
+            market_data_df = pd.concat([market_data_df, new_row], ignore_index=True)
+
+            prediction = self.trading_pair_.run(
+                market_data_df, self.model_data_policy_.advance()
+            )
+            assert prediction is not None
+
+            trades = self._create_trades(
+                prediction=prediction, last_row=market_data_df.iloc[-1]
+            )
+            if trades is not None:
+                self.trades_.append(trades)
+
+        trades = self._handle_outstanding_positions()
+        if trades is not None:
+            self.trades_.append(trades)
+
+    def _create_trades(
+        self, prediction: Prediction, last_row: pd.Series
+    ) -> Optional[pd.DataFrame]:
+        pair = self.trading_pair_
+        trades = None
+
+        open_threshold = self.config_["dis-equilibrium_open_trshld"]
+        close_threshold = self.config_["dis-equilibrium_close_trshld"]
+        scaled_disequilibrium = prediction.scaled_disequilibrium_
+        abs_scaled_disequilibrium = abs(scaled_disequilibrium)
+
+        if pair.user_data_["state"] in [
+            PairState.INITIAL,
+            PairState.CLOSE,
+            PairState.CLOSE_POSITION,
+            PairState.CLOSE_STOP_LOSS,
+            PairState.CLOSE_STOP_PROFIT,
+        ]:
+            if abs_scaled_disequilibrium >= open_threshold:
+                trades = self._create_open_trades(
+                    pair, row=last_row, prediction=prediction
+                )
+                if trades is not None:
+                    trades["status"] = PairState.OPEN.name
+                    print(f"OPEN TRADES:\n{trades}")
+                    pair.user_data_["state"] = PairState.OPEN
+                    pair.on_open_trades(trades)
+
+        elif pair.user_data_["state"] == PairState.OPEN:
+            if abs_scaled_disequilibrium <= close_threshold:
+                trades = self._create_close_trades(
+                    pair, row=last_row, prediction=prediction
+                )
+                if trades is not None:
+                    trades["status"] = PairState.CLOSE.name
+                    print(f"CLOSE TRADES:\n{trades}")
+                    pair.user_data_["state"] = PairState.CLOSE
+                    pair.on_close_trades(trades)
+            elif pair.to_stop_close_conditions(predicted_row=last_row):
+                trades = self._create_close_trades(pair, row=last_row)
+                if trades is not None:
+                    trades["status"] = pair.user_data_["stop_close_state"].name
+                    print(f"STOP CLOSE TRADES:\n{trades}")
+                    pair.user_data_["state"] = pair.user_data_["stop_close_state"]
+                    pair.on_close_trades(trades)
+
+        return trades
+
+    def _handle_outstanding_positions(self) -> Optional[pd.DataFrame]:
+        trades = None
+        pair = self.trading_pair_
+
+        # Outstanding positions
+        if pair.user_data_["state"] == PairState.OPEN:
+            print(f"{pair}:  *** Position is NOT CLOSED. ***")
+            # outstanding positions
+            if self.config_["close_outstanding_positions"]:
+                close_position_row = pd.Series(pair.market_data_.iloc[-2])
+                # close_position_row["disequilibrium"] = 0.0
+                # close_position_row["scaled_disequilibrium"] = 0.0
+                # close_position_row["signed_scaled_disequilibrium"] = 0.0
+
+                trades = self._create_close_trades(
+                    pair=pair, row=close_position_row, prediction=None
+                )
+                if trades is not None:
+                    trades["status"] = PairState.CLOSE_POSITION.name
+                    print(f"CLOSE_POSITION TRADES:\n{trades}")
+                    pair.user_data_["state"] = PairState.CLOSE_POSITION
+                    pair.on_close_trades(trades)
+            else:
+                pair.add_outstanding_position(
+                    symbol=pair.symbol_a_,
+                    open_side=pair.user_data_["open_side_a"],
+                    open_px=pair.user_data_["open_px_a"],
+                    open_tstamp=pair.user_data_["open_tstamp"],
+                    last_mkt_data_row=pair.market_data_.iloc[-1],
+                )
+                pair.add_outstanding_position(
+                    symbol=pair.symbol_b_,
+                    open_side=pair.user_data_["open_side_b"],
+                    open_px=pair.user_data_["open_px_b"],
+                    open_tstamp=pair.user_data_["open_tstamp"],
+                    last_mkt_data_row=pair.market_data_.iloc[-1],
+                )
+        return trades
+
+    def _trades_df(self) -> pd.DataFrame:
+        types = {
+            "time": "datetime64[ns]",
+            "action": "string",
+            "symbol": "string",
+            "side": "string",
+            "price": "float64",
+            "disequilibrium": "float64",
+            "scaled_disequilibrium": "float64",
+            "signed_scaled_disequilibrium": "float64",
+            # "pair": "object",
+        }
+        columns = list(types.keys())
+        return pd.DataFrame(columns=columns).astype(types)
+
+    def _create_open_trades(
+        self, pair: TradingPair, row: pd.Series, prediction: Prediction
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        tstamp = row["tstamp"]
+        diseqlbrm = prediction.disequilibrium_
+        scaled_disequilibrium = prediction.scaled_disequilibrium_
+        px_a = row[f"{colname_a}"]
+        px_b = row[f"{colname_b}"]
+
+        # creating the trades
+        df = self._trades_df()
+
+        print(f"OPEN_TRADES: {row["tstamp"]} {scaled_disequilibrium=}")
+        if diseqlbrm > 0:
+            side_a = "SELL"
+            side_b = "BUY"
+        else:
+            side_a = "BUY"
+            side_b = "SELL"
+
+        # save closing sides
+        pair.user_data_["open_side_a"] = side_a # used in oustanding positions
+        pair.user_data_["open_side_b"] = side_b
+        pair.user_data_["open_px_a"] = px_a
+        pair.user_data_["open_px_b"] = px_b
+        pair.user_data_["open_tstamp"] = tstamp
+        
+        pair.user_data_["close_side_a"] = side_b # used for closing trades
+        pair.user_data_["close_side_b"] = side_a
+
+        # create opening trades
+        df.loc[len(df)] = {
+            "time": tstamp,
+            "symbol": pair.symbol_a_,
+            "side": side_a,
+            "action": "OPEN",
+            "price": px_a,
+            "disequilibrium": diseqlbrm,
+            "signed_scaled_disequilibrium": scaled_disequilibrium,
+            "scaled_disequilibrium": abs(scaled_disequilibrium),
+            # "pair": pair,
+        }
+        df.loc[len(df)] = {
+            "time": tstamp,
+            "symbol": pair.symbol_b_,
+            "side": side_b,
+            "action": "OPEN",
+            "price": px_b,
+            "disequilibrium": diseqlbrm,
+            "scaled_disequilibrium": abs(scaled_disequilibrium),
+            "signed_scaled_disequilibrium": scaled_disequilibrium,
+            # "pair": pair,
+        }
+        return df
+
+    def _create_close_trades(
+        self, pair: TradingPair, row: pd.Series, prediction: Optional[Prediction] = None
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        tstamp = row["tstamp"]
+        if prediction is not None:
+            diseqlbrm = prediction.disequilibrium_
+            signed_scaled_disequilibrium = prediction.scaled_disequilibrium_
+            scaled_disequilibrium = abs(prediction.scaled_disequilibrium_)
+        else:
+            diseqlbrm = 0.0
+            signed_scaled_disequilibrium = 0.0
+            scaled_disequilibrium = 0.0
+        px_a = row[f"{colname_a}"]
+        px_b = row[f"{colname_b}"]
+
+        # creating the trades
+        df = self._trades_df()
+
+        # create opening trades
+        df.loc[len(df)] = {
+            "time": tstamp,
+            "symbol": pair.symbol_a_,
+            "side": pair.user_data_["close_side_a"],
+            "action": "CLOSE",
+            "price": px_a,
+            "disequilibrium": diseqlbrm,
+            "scaled_disequilibrium": scaled_disequilibrium,
+            "signed_scaled_disequilibrium": signed_scaled_disequilibrium,
+            # "pair": pair,
+        }
+        df.loc[len(df)] = {
+            "time": tstamp,
+            "symbol": pair.symbol_b_,
+            "side": pair.user_data_["close_side_b"],
+            "action": "CLOSE",
+            "price": px_b,
+            "disequilibrium": diseqlbrm,
+            "scaled_disequilibrium": scaled_disequilibrium,
+            "signed_scaled_disequilibrium": signed_scaled_disequilibrium,
+            # "pair": pair,
+        }
+        del pair.user_data_["close_side_a"]
+        del pair.user_data_["close_side_b"]
+
+        del pair.user_data_["open_tstamp"]
+        del pair.user_data_["open_px_a"]
+        del pair.user_data_["open_px_b"]
+        del pair.user_data_["open_side_a"]
+        del pair.user_data_["open_side_b"]
+        return df
+
+    def day_trades(self) -> pd.DataFrame:
+        return pd.concat(self.trades_, ignore_index=True)
+
+
+def main() -> None:
+    import argparse
+
+    from tools.config import expand_filename, load_config
+
+    parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
+    parser.add_argument(
+        "--config", type=str, required=True, help="Path to the configuration file."
+    )
+    parser.add_argument(
+        "--date_pattern",
+        type=str,
+        required=True,
+        help="Date YYYYMMDD, allows * and ? wildcards",
+    )
+    parser.add_argument(
+        "--instruments",
+        type=str,
+        required=True,
+        help="Comma-separated list of instrument symbols (e.g., COIN:EQUITY,GBTC:CRYPTO)",
+    )
+    parser.add_argument(
+        "--result_db",
+        type=str,
+        required=True,
+        help="Path to SQLite database for storing results. Use 'NONE' to disable database output.",
+    )
+
+    args = parser.parse_args()
+
+    config: Dict = load_config(args.config)
+
+    # Resolve data files (CLI takes priority over config)
+    instruments = get_instruments(args, config)
+    datafiles = resolve_datafiles(config, args.date_pattern, instruments)
+
+    days = list(set([day for day, _ in datafiles]))
+    print(f"Found {len(datafiles)} data files to process:")
+    for df in datafiles:
+        print(f"  - {df}")
+
+    # Create result database if needed
+    if args.result_db.upper() != "NONE":
+        args.result_db = expand_filename(args.result_db)
+        create_result_database(args.result_db)
+
+    # Initialize a dictionary to store all trade results
+    all_results: Dict[str, Dict[str, Any]] = {}
+    is_config_stored = False
+    # Process each data file
+
+    results = PairResearchResult(config=config)
+    for day in sorted(days):
+        md_datafiles = [datafile for md_day, datafile in datafiles if md_day == day]
+        if not all([os.path.exists(datafile) for datafile in md_datafiles]):
+            print(f"WARNING: insufficient data files: {md_datafiles}")
+            continue
+        print(f"\n====== Processing {day} ======")
+
+        if not is_config_stored:
+            store_config_in_database(
+                db_path=args.result_db,
+                config_file_path=args.config,
+                config=config,
+                datafiles=datafiles,
+                instruments=instruments,
+            )
+            is_config_stored = True
+
+        pt_strategy = PtResearchStrategy(
+            config=config, datafiles=md_datafiles, instruments=instruments
+        )
+        pt_strategy.run()
+        results.add_day_results(
+            day=day,
+            trades=pt_strategy.day_trades(),
+            outstanding_positions=pt_strategy.outstanding_positions(),
+        )
+
+        # ADD RESULTS ANALYSIS
+        results.calculate_returns()
+        results.print_single_day_results()
+
+        # Store results with day name as key
+        # filename = os.path.basename(day)
+        # all_results[filename] = {
+        #     "trades": pt_strategy.trades_.copy(),
+        #     "outstanding_positions": pt_strategy.outstanding_positions_.copy(),
+        # }
+
+        # print(f"Successfully processed {filename}")
+
+    results.calculate_returns()
+    results.print_grand_totals()
+    results.print_outstanding_positions()
+
+    if args.result_db.upper() != "NONE":
+        print(f"\nResults stored in database: {args.result_db}")
+    else:
+        print("No results to display.")
+
+
+if __name__ == "__main__":
+    main()

lib/pt_trading/expanding_window_fit.py

@@ -0,0 +1,304 @@
+from abc import ABC, abstractmethod
+from enum import Enum
+from typing import Any, Dict, Optional, cast
+
+import pandas as pd  # type: ignore[import]
+from pt_trading.fit_method import PairsTradingFitMethod
+from pt_trading.results import BacktestResult
+from pt_trading.trading_pair import PairState, TradingPair
+
+NanoPerMin = 1e9
+
+class ExpandingWindowFit(PairsTradingFitMethod):
+    """
+    N O T E:
+    =========
+    - This class remains to be abstract
+    - The following methods are to be implemented in the subclass:
+        - create_trading_pair()
+    =========
+    """
+
+    def __init__(self) -> None:
+        super().__init__()
+
+    def run_pair(
+        self, pair: TradingPair, bt_result: BacktestResult
+    ) -> Optional[pd.DataFrame]:
+        print(f"***{pair}*** STARTING....")
+        config = pair.config_
+
+        start_idx = pair.get_begin_index()
+        end_index = pair.get_end_index()
+
+        pair.user_data_["state"] = PairState.INITIAL
+        # Initialize trades DataFrame with proper dtypes to avoid concatenation warnings
+        pair.user_data_["trades"] = pd.DataFrame(columns=self.TRADES_COLUMNS).astype(
+            {
+                "time": "datetime64[ns]",
+                "symbol": "string",
+                "side": "string",
+                "action": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+        training_minutes = config["training_minutes"]
+        while training_minutes + 1 < end_index:
+
+            pair.get_datasets(
+                training_minutes=training_minutes,
+                training_start_index=start_idx,
+                testing_size=1,
+            )
+
+            # ================================ PREDICTION ================================
+            try:
+                self.pair_predict_result_ = pair.predict()
+            except Exception as e:
+                raise RuntimeError(
+                    f"{pair}: TrainingPrediction failed: {str(e)}"
+                ) from e
+
+            training_minutes += 1
+
+
+        self._create_trading_signals(pair, config, bt_result)
+        print(f"***{pair}*** FINISHED *** Num Trades:{len(pair.user_data_['trades'])}")
+
+        return pair.get_trades()
+
+    def _create_trading_signals(
+        self, pair: TradingPair, config: Dict, bt_result: BacktestResult
+    ) -> None:
+
+        predicted_df = self.pair_predict_result_
+        assert predicted_df is not None
+
+        open_threshold = config["dis-equilibrium_open_trshld"]
+        close_threshold = config["dis-equilibrium_close_trshld"]
+        for curr_predicted_row_idx in range(len(predicted_df)):
+            pred_row = predicted_df.iloc[curr_predicted_row_idx]
+            scaled_disequilibrium = pred_row["scaled_disequilibrium"]
+
+            if pair.user_data_["state"] in [
+                PairState.INITIAL,
+                PairState.CLOSE,
+                PairState.CLOSE_POSITION,
+                PairState.CLOSE_STOP_LOSS,
+                PairState.CLOSE_STOP_PROFIT,
+            ]:
+                if scaled_disequilibrium >= open_threshold:
+                    open_trades = self._get_open_trades(
+                        pair, row=pred_row, open_threshold=open_threshold
+                    )
+                    if open_trades is not None:
+                        open_trades["status"] = PairState.OPEN.name
+                        print(f"OPEN TRADES:\n{open_trades}")
+                        pair.add_trades(open_trades)
+                        pair.user_data_["state"] = PairState.OPEN
+                        pair.on_open_trades(open_trades)
+
+            elif pair.user_data_["state"] == PairState.OPEN:
+                if scaled_disequilibrium <= close_threshold:
+                    close_trades = self._get_close_trades(
+                        pair, row=pred_row, close_threshold=close_threshold
+                    )
+                    if close_trades is not None:
+                        close_trades["status"] = PairState.CLOSE.name
+                        print(f"CLOSE TRADES:\n{close_trades}")
+                        pair.add_trades(close_trades)
+                        pair.user_data_["state"] = PairState.CLOSE
+                        pair.on_close_trades(close_trades)
+                elif pair.to_stop_close_conditions(predicted_row=pred_row):
+                    close_trades = self._get_close_trades(
+                        pair, row=pred_row, close_threshold=close_threshold
+                    )
+                    if close_trades is not None:
+                        close_trades["status"] = pair.user_data_[
+                            "stop_close_state"
+                        ].name
+                        print(f"STOP CLOSE TRADES:\n{close_trades}")
+                        pair.add_trades(close_trades)
+                        pair.user_data_["state"] = pair.user_data_["stop_close_state"]
+                        pair.on_close_trades(close_trades)
+
+        # Outstanding positions
+        if pair.user_data_["state"] == PairState.OPEN:
+            print(f"{pair}:  *** Position is NOT CLOSED. ***")
+            # outstanding positions
+            if config["close_outstanding_positions"]:
+                close_position_row = pd.Series(pair.market_data_.iloc[-2])
+                close_position_row["disequilibrium"] = 0.0
+                close_position_row["scaled_disequilibrium"] = 0.0
+                close_position_row["signed_scaled_disequilibrium"] = 0.0
+                
+                close_position_trades = self._get_close_trades(
+                    pair=pair, row=close_position_row, close_threshold=close_threshold
+                )
+                if close_position_trades is not None:
+                    close_position_trades["status"] = PairState.CLOSE_POSITION.name
+                    print(f"CLOSE_POSITION TRADES:\n{close_position_trades}")
+                    pair.add_trades(close_position_trades)
+                    pair.user_data_["state"] = PairState.CLOSE_POSITION
+                    pair.on_close_trades(close_position_trades)
+            else:
+                if predicted_df is not None:
+                    bt_result.handle_outstanding_position(
+                        pair=pair,
+                        pair_result_df=predicted_df,
+                        last_row_index=0,
+                        open_side_a=pair.user_data_["open_side_a"],
+                        open_side_b=pair.user_data_["open_side_b"],
+                        open_px_a=pair.user_data_["open_px_a"],
+                        open_px_b=pair.user_data_["open_px_b"],
+                        open_tstamp=pair.user_data_["open_tstamp"],
+                    )
+
+    def _get_open_trades(
+        self, pair: TradingPair, row: pd.Series, open_threshold: float
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        open_row = row
+
+        open_tstamp = open_row["tstamp"]
+        open_disequilibrium = open_row["disequilibrium"]
+        open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
+        signed_scaled_disequilibrium = open_row["signed_scaled_disequilibrium"]
+        open_px_a = open_row[f"{colname_a}"]
+        open_px_b = open_row[f"{colname_b}"]
+
+        # creating the trades
+        print(f"OPEN_TRADES: {row["tstamp"]} {open_scaled_disequilibrium=}")
+        if open_disequilibrium > 0:
+            open_side_a = "SELL"
+            open_side_b = "BUY"
+            close_side_a = "BUY"
+            close_side_b = "SELL"
+        else:
+            open_side_a = "BUY"
+            open_side_b = "SELL"
+            close_side_a = "SELL"
+            close_side_b = "BUY"
+
+        # save closing sides
+        pair.user_data_["open_side_a"] = open_side_a
+        pair.user_data_["open_side_b"] = open_side_b
+        pair.user_data_["open_px_a"] = open_px_a
+        pair.user_data_["open_px_b"] = open_px_b
+
+        pair.user_data_["open_tstamp"] = open_tstamp
+
+        pair.user_data_["close_side_a"] = close_side_a
+        pair.user_data_["close_side_b"] = close_side_b
+
+        # create opening trades
+        trd_signal_tuples = [
+            (
+                open_tstamp,
+                pair.symbol_a_,
+                open_side_a,
+                "OPEN",
+                open_px_a,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                open_tstamp,
+                pair.symbol_b_,
+                open_side_b,
+                "OPEN",
+                open_px_b,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+        # Create DataFrame with explicit dtypes to avoid concatenation warnings
+        df = pd.DataFrame(
+            trd_signal_tuples,
+            columns=self.TRADES_COLUMNS,
+        )
+        # Ensure consistent dtypes
+        return df.astype(
+            {
+                "time": "datetime64[ns]",
+                "action": "string",
+                "symbol": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "signed_scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+    def _get_close_trades(
+        self, pair: TradingPair, row: pd.Series, close_threshold: float
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        close_row = row
+        close_tstamp = close_row["tstamp"]
+        close_disequilibrium = close_row["disequilibrium"]
+        close_scaled_disequilibrium = close_row["scaled_disequilibrium"]
+        signed_scaled_disequilibrium = close_row["signed_scaled_disequilibrium"]
+        close_px_a = close_row[f"{colname_a}"]
+        close_px_b = close_row[f"{colname_b}"]
+
+        close_side_a = pair.user_data_["close_side_a"]
+        close_side_b = pair.user_data_["close_side_b"]
+
+        trd_signal_tuples = [
+            (
+                close_tstamp,
+                pair.symbol_a_,
+                close_side_a,
+                "CLOSE",
+                close_px_a,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                close_tstamp,
+                pair.symbol_b_,
+                close_side_b,
+                "CLOSE",
+                close_px_b,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+
+        # Add tuples to data frame with explicit dtypes to avoid concatenation warnings
+        df = pd.DataFrame(
+            trd_signal_tuples,
+            columns=self.TRADES_COLUMNS,
+        )
+        # Ensure consistent dtypes
+        return df.astype(
+            {
+                "time": "datetime64[ns]",
+                "action": "string",
+                "symbol": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "signed_scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+    def reset(self) -> None:
+        pass

lib/pt_trading/results.py

@@ -195,6 +195,16 @@ def convert_timestamp(timestamp: Any) -> Optional[datetime]:
         raise ValueError(f"Unsupported timestamp type: {type(timestamp)}")
 
 
+class PairResarchResult:
+    pair_: TradingPair
+    trades_: Dict[str, Dict[str, Any]]
+    outstanding_positions_: List[Dict[str, Any]]
+    def __init__(self, config: Dict[str, Any], pair: TradingPair, trades: Dict[str, Dict[str, Any]], outstanding_positions: List[Dict[str, Any]]):
+        self.config = config
+        self.pair_ = pair
+        self.trades_ = trades
+        self.outstanding_positions_ = outstanding_positions
+
 
 class BacktestResult:
     """
@@ -206,7 +216,7 @@ class BacktestResult:
         self.trades: Dict[str, Dict[str, Any]] = {}
         self.total_realized_pnl = 0.0
         self.outstanding_positions: List[Dict[str, Any]] = []
-        self.pairs_trades_: Dict[str, List[Dict[str, Any]]] = {}
+        self.symbol_roundtrip_trades_: Dict[str, List[Dict[str, Any]]] = {}
         
     def add_trade(
         self,
@@ -334,7 +344,7 @@ class BacktestResult:
         for filename, data in all_results.items():
             pairs = list(data["trades"].keys())
             for pair in pairs:
-                self.pairs_trades_[pair] = []
+                self.symbol_roundtrip_trades_[pair] = []
                 trades_dict = data["trades"][pair]
                 for symbol in trades_dict.keys():
                     trades.extend(trades_dict[symbol])
@@ -369,7 +379,7 @@ class BacktestResult:
 
                 pair_return = symbol_a_return + symbol_b_return
 
-                self.pairs_trades_[pair].append(
+                self.symbol_roundtrip_trades_[pair].append(
                     {
                         "symbol": symbol_a,
                         "open_side": trade_a_1["side"],
@@ -391,7 +401,7 @@ class BacktestResult:
                         "pair_return": pair_return
                     }
                 )
-                self.pairs_trades_[pair].append(
+                self.symbol_roundtrip_trades_[pair].append(
                     {
                         "symbol": symbol_b,
                         "open_side": trade_b_1["side"],
@@ -417,11 +427,11 @@ class BacktestResult:
 
             # Print pair returns with disequilibrium information
             day_return = 0.0
-            if pair in self.pairs_trades_:
+            if pair in self.symbol_roundtrip_trades_:
 
                 print(f"{pair}:")
                 pair_return = 0.0
-                for trd in self.pairs_trades_[pair]:
+                for trd in self.symbol_roundtrip_trades_[pair]:
                     disequil_info = ""
                     if (
                         trd["open_scaled_disequilibrium"] is not None
@@ -641,7 +651,7 @@ class BacktestResult:
             for pair_name, _ in trades.items():
 
                 # Second pass: insert completed trade records into database
-                for trade_pair in sorted(self.pairs_trades_[pair_name], key=lambda x: x["open_time"]):
+                for trade_pair in sorted(self.symbol_roundtrip_trades_[pair_name], key=lambda x: x["open_time"]):
                     # Only store completed trades in pt_bt_results table
                     cursor.execute(
                         """

lib/pt_trading/rolling_window_fit.py

@@ -316,4 +316,4 @@ class RollingFit(PairsTradingFitMethod):
         )
 
     def reset(self) -> None:
-        curr_training_start_idx = 0
+        pass

lib/pt_trading/trading_pair.py

@@ -119,8 +119,8 @@ class TradingPair(ABC):
             return
         execution_price_column = self.config_["execution_price"]["column"]
         execution_price_shift = self.config_["execution_price"]["shift"]
-        self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_a_}"].shift(-execution_price_shift)
+        self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{execution_price_column}_{self.symbol_a_}"].shift(-execution_price_shift)
-        self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_b_}"].shift(-execution_price_shift)
+        self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{execution_price_column}_{self.symbol_b_}"].shift(-execution_price_shift)
         self.market_data_ = self.market_data_.dropna().reset_index(drop=True)
 
         

lib/tools/filetools.py

@@ -0,0 +1,33 @@
+import os
+import glob
+from typing import Dict, List, Tuple
+
+DayT = str
+DataFileNameT = str
+
+def resolve_datafiles(
+    config: Dict, date_pattern: str, instruments: List[Dict[str, str]]
+) -> List[Tuple[DayT, DataFileNameT]]:
+    resolved_files: List[Tuple[DayT, DataFileNameT]] = []
+    for inst in instruments:
+        pattern = date_pattern
+        inst_type = inst["instrument_type"]
+        data_dir = config["market_data_loading"][inst_type]["data_directory"]
+        if "*" in pattern or "?" in pattern:
+            # Handle wildcards
+            if not os.path.isabs(pattern):
+                pattern = os.path.join(data_dir, f"{pattern}.mktdata.ohlcv.db")
+            matched_files = glob.glob(pattern)
+            for matched_file in matched_files:
+                import re
+                match = re.search(r"(\d{8})\.mktdata\.ohlcv\.db$", matched_file)
+                assert match is not None
+                day = match.group(1)
+                resolved_files.append((day, matched_file))
+        else:
+            # Handle explicit file path
+            if not os.path.isabs(pattern):
+                pattern = os.path.join(data_dir, f"{pattern}.mktdata.ohlcv.db")
+            resolved_files.append((date_pattern, pattern))
+    return sorted(list(set(resolved_files)))  # Remove duplicates and sort
+

lib/tools/instruments.py

@@ -0,0 +1,21 @@
+import argparse
+from typing import Dict, List
+
+def get_instruments(args: argparse.Namespace, config: Dict) -> List[Dict[str, str]]:
+
+    instruments = [
+        {
+            "symbol": inst.split(":")[0],
+            "instrument_type": inst.split(":")[1],
+            "exchange_id": inst.split(":")[2],
+            "instrument_id_pfx": config["market_data_loading"][inst.split(":")[1]][
+                "instrument_id_pfx"
+            ],
+            "db_table_name": config["market_data_loading"][inst.split(":")[1]][
+                "db_table_name"
+            ],
+        }
+        for inst in args.instruments.split(",")
+    ]
+    return instruments
+