configuration/crypto.cfg

@@ -7,6 +7,16 @@
     "db_table_name": "md_1min_bars",
     "exchange_id": "BNBSPOT",
     "instrument_id_pfx": "PAIR-",
+    # "instruments": [
+    #     "BTC-USDT",
+    #     "BCH-USDT",
+    #     "ETH-USDT",
+    #     "LTC-USDT",
+    #     "XRP-USDT",
+    #     "ADA-USDT",
+    #     "SOL-USDT",
+    #     "DOT-USDT"
+    # ],
     "trading_hours": {
         "begin_session": "00:00:00",
         "end_session": "23:59:00",
@@ -19,5 +29,5 @@
     "dis-equilibrium_close_trshld": 0.5,
     "training_minutes": 120,
     "funding_per_pair": 2000.0,
-    "fit_method_class": "pt_trading.fit_methods.SlidingFit"
+    "fit_method_class": "pt_trading.fit_methods.StaticFit"
 }

lib/pt_trading/fit_methods.py

@@ -3,6 +3,7 @@ from enum import Enum
 from typing import Dict, Optional, cast
 
 import pandas as pd  # type: ignore[import]
+
 from pt_trading.results import BacktestResult
 from pt_trading.trading_pair import TradingPair
 
@@ -63,17 +64,6 @@ class StaticFit(PairsTradingFitMethod):
         colname_a, colname_b = pair.colnames()
 
         predicted_df = pair.predicted_df_
-        if predicted_df is None:
-            # Return empty DataFrame with correct columns and dtypes
-            return pd.DataFrame(columns=self.TRADES_COLUMNS).astype({
-                "time": "datetime64[ns]",
-                "action": "string",
-                "symbol": "string", 
-                "price": "float64",
-                "disequilibrium": "float64",
-                "scaled_disequilibrium": "float64",
-                "pair": "object"
-            })
 
         open_threshold = config["dis-equilibrium_open_trshld"]
         close_threshold = config["dis-equilibrium_close_trshld"]
@@ -106,11 +96,11 @@ class StaticFit(PairsTradingFitMethod):
                 break
 
         open_row = predicted_df.loc[open_row_index]
-        open_px_a = predicted_df.at[open_row_index, f"{colname_a}"]
-        open_px_b = predicted_df.at[open_row_index, f"{colname_b}"]
-        open_tstamp = predicted_df.at[open_row_index, "tstamp"]
+        open_tstamp = open_row["tstamp"]
         open_disequilibrium = open_row["disequilibrium"]
         open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
+        open_px_a = open_row[f"{colname_a}"]
+        open_px_b = open_row[f"{colname_b}"]
 
         abs_beta = abs(beta[1])
         pred_px_b = predicted_df.loc[open_row_index][f"{colname_b}_pred"]
@@ -139,9 +129,9 @@ class StaticFit(PairsTradingFitMethod):
                 last_row_index=last_row_index,
                 open_side_a=open_side_a,
                 open_side_b=open_side_b,
-                open_px_a=float(open_px_a),
-                open_px_b=float(open_px_b),
-                open_tstamp=pd.Timestamp(open_tstamp),
+                open_px_a=open_px_a,
+                open_px_b=open_px_b,
+                open_tstamp=open_tstamp,
             )
 
             # Return only open trades (no close trades)
@@ -215,21 +205,11 @@ class StaticFit(PairsTradingFitMethod):
                 ),
             ]
 
-        # Add tuples to data frame with explicit dtypes to avoid concatenation warnings
-        df = pd.DataFrame(
+        # Add tuples to data frame
+        return pd.DataFrame(
             trd_signal_tuples,
-            columns=self.TRADES_COLUMNS,
+            columns=self.TRADES_COLUMNS,  # type: ignore
         )
-        # Ensure consistent dtypes
-        return df.astype({
-            "time": "datetime64[ns]",
-            "action": "string",
-            "symbol": "string", 
-            "price": "float64",
-            "disequilibrium": "float64",
-            "scaled_disequilibrium": "float64",
-            "pair": "object"
-        })
 
     def reset(self) -> None:
         pass
@@ -252,16 +232,7 @@ class SlidingFit(PairsTradingFitMethod):
         print(f"***{pair}*** STARTING....")
 
         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]",
-            "action": "string",
-            "symbol": "string", 
-            "price": "float64",
-            "disequilibrium": "float64",
-            "scaled_disequilibrium": "float64",
-            "pair": "object"
-        })
+        pair.user_data_["trades"] = pd.DataFrame(columns=self.TRADES_COLUMNS)
         pair.user_data_["is_cointegrated"] = False
 
         training_minutes = config["training_minutes"]
@@ -284,7 +255,7 @@ class SlidingFit(PairsTradingFitMethod):
                     )
                     # outstanding positions
                     # last_row_index = self.curr_training_start_idx_ + training_minutes
-                    if pair.predicted_df_ is not None:
+
                     bt_result.handle_outstanding_position(
                         pair=pair,
                         pair_result_df=pair.predicted_df_,
@@ -340,10 +311,7 @@ class SlidingFit(PairsTradingFitMethod):
     def _create_trading_signals(
         self, pair: TradingPair, config: Dict, bt_result: BacktestResult
     ) -> None:
-        if pair.predicted_df_ is None:
-            print(f"{pair.market_data_.iloc[0]['tstamp']} {pair}: No predicted data")
-            return
-
+        assert pair.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(pair.predicted_df_)):
@@ -385,16 +353,6 @@ class SlidingFit(PairsTradingFitMethod):
         open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
         open_px_a = open_row[f"{colname_a}"]
         open_px_b = open_row[f"{colname_b}"]
-        # Ensure scalars for handle_outstanding_position
-        if isinstance(open_px_a, pd.Series):
-            open_px_a = open_px_a.iloc[0]
-        if isinstance(open_px_b, pd.Series):
-            open_px_b = open_px_b.iloc[0]
-        if isinstance(open_tstamp, pd.Series):
-            open_tstamp = open_tstamp.iloc[0]
-        open_px_a = float(open_px_a)
-        open_px_b = float(open_px_b)
-        open_tstamp = pd.Timestamp(open_tstamp)
 
         if open_scaled_disequilibrium < open_threshold:
             return None
@@ -444,21 +402,10 @@ class SlidingFit(PairsTradingFitMethod):
                 pair,
             ),
         ]
-        # Create DataFrame with explicit dtypes to avoid concatenation warnings
-        df = pd.DataFrame(
+        return pd.DataFrame(
             trd_signal_tuples,
-            columns=self.TRADES_COLUMNS,
+            columns=self.TRADES_COLUMNS,  # type: ignore
         )
-        # Ensure consistent dtypes
-        return df.astype({
-            "time": "datetime64[ns]",
-            "action": "string",
-            "symbol": "string", 
-            "price": "float64",
-            "disequilibrium": "float64",
-            "scaled_disequilibrium": "float64",
-            "pair": "object"
-        })
 
     def _get_close_trades(
         self, pair: TradingPair, row: pd.Series, close_threshold: float
@@ -502,21 +449,11 @@ class SlidingFit(PairsTradingFitMethod):
             ),
         ]
 
-        # Add tuples to data frame with explicit dtypes to avoid concatenation warnings
-        df = pd.DataFrame(
+        # Add tuples to data frame
+        return pd.DataFrame(
             trd_signal_tuples,
-            columns=self.TRADES_COLUMNS,
+            columns=self.TRADES_COLUMNS,  # type: ignore
         )
-        # Ensure consistent dtypes
-        return df.astype({
-            "time": "datetime64[ns]",
-            "action": "string",
-            "symbol": "string", 
-            "price": "float64",
-            "disequilibrium": "float64",
-            "scaled_disequilibrium": "float64",
-            "pair": "object"
-        })
 
     def reset(self) -> None:
         self.curr_training_start_idx_ = 0

lib/pt_trading/results.py

@@ -41,12 +41,6 @@ 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()
 

lib/pt_trading/trading_pair.py

@@ -179,39 +179,10 @@ class TradingPair:
         return result
 
     def add_trades(self, trades: pd.DataFrame) -> None:
-        if self.user_data_["trades"] is None or len(self.user_data_["trades"]) == 0:
-            # If trades is empty or None, just assign the new trades directly
-            self.user_data_["trades"] = trades.copy()
+        if self.user_data_["trades"] is None:
+            self.user_data_["trades"] = pd.DataFrame(trades)
         else:
-            # Ensure both DataFrames have the same columns and dtypes before concatenation
-            existing_trades = self.user_data_["trades"]
-            
-            # If existing trades is empty, just assign the new trades
-            if len(existing_trades) == 0:
-                self.user_data_["trades"] = trades.copy()
-            else:
-                # Ensure both DataFrames have the same columns
-                if set(existing_trades.columns) != set(trades.columns):
-                    # Add missing columns to trades with appropriate default values
-                    for col in existing_trades.columns:
-                        if col not in trades.columns:
-                            if col == "time":
-                                trades[col] = pd.Timestamp.now()
-                            elif col in ["action", "symbol"]:
-                                trades[col] = ""
-                            elif col in ["price", "disequilibrium", "scaled_disequilibrium"]:
-                                trades[col] = 0.0
-                            elif col == "pair":
-                                trades[col] = None
-                            else:
-                                trades[col] = None
-                
-                # Concatenate with explicit dtypes to avoid warnings
-                self.user_data_["trades"] = pd.concat(
-                    [existing_trades, trades], 
-                    ignore_index=True,
-                    copy=False
-                )
+            self.user_data_["trades"] = pd.concat([self.user_data_["trades"], pd.DataFrame(trades)], ignore_index=True)
 
     def get_trades(self) -> pd.DataFrame:
         return self.user_data_["trades"] if "trades" in self.user_data_ else pd.DataFrame()

requirements.txt

@@ -24,14 +24,11 @@ hjson>=3.0.2
 html5lib>=1.1
 httplib2>=0.20.2
 idna>=3.3
-ipython>=8.18.1
-ipywidgets>=8.1.1
 ifaddr>=0.1.7
 IMDbPY>=2021.4.18
 ipykernel>=6.29.5
 jeepney>=0.7.1
 jsonschema>=3.2.0
-jupyter>=1.0.0
 keyring>=23.5.0
 launchpadlib>=1.10.16
 lazr.restfulclient>=0.14.4
@@ -45,18 +42,15 @@ more-itertools>=8.10.0
 multidict>=6.0.4
 mypy>=0.942
 mypy-extensions>=0.4.3
-nbformat>=5.10.2
 netaddr>=0.8.0
 ######### netifaces>=0.11.0
 numpy>=1.26.4,<2.3.0
 oauthlib>=3.2.0
 packaging>=23.1
-pandas>=2.2.3
 pathspec>=0.11.1
 pexpect>=4.8.0
 Pillow>=9.0.1
 platformdirs>=3.2.0
-plotly>=5.19.0
 protobuf>=3.12.4
 psutil>=5.9.0
 ptyprocess>=0.7.0