intermarket fix for weekends

configuration/vecm.cfg

@@ -0,0 +1,38 @@
+{
+    "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 ======
+    "price_column": "close",
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 1.0,
+    "training_minutes": 120,
+    "fit_method_class": "pt_trading.vecm_rolling_fit.VECMRollingFit",
+
+    # ====== 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",
+    }
+}

configuration/z-score-intermarket.cfg

@@ -0,0 +1,38 @@
+{
+    "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 ======
+    "price_column": "close",
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 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": "15:30:00",
+    }
+}

configuration/zscore.cfg

@@ -13,7 +13,7 @@
     },
 
     # ====== Funding ======
-            "funding_per_pair": 2000.0,
+    "funding_per_pair": 2000.0,
     # ====== Trading Parameters ======
     "price_column": "close",
     "dis-equilibrium_open_trshld": 2.0,
@@ -31,8 +31,8 @@
     "close_outstanding_positions": true,
     # "close_outstanding_positions": false,
     "trading_hours": {
+        "timezone": "America/New_York",
         "begin_session": "9:30:00",
-        "end_session": "22:30:00",
+        "end_session": "18:30:00",
-        "timezone": "America/New_York"
     }
 }

lib/pt_trading/fit_method.py

@@ -1,3 +1,5 @@
+from __future__ import annotations
+
 from abc import ABC, abstractmethod
 from enum import Enum
 from typing import Dict, Optional, cast
@@ -21,6 +23,15 @@ class PairsTradingFitMethod(ABC):
         "signed_scaled_disequilibrium",
         "pair",
     ]
+    @staticmethod
+    def create(config: Dict) -> PairsTradingFitMethod:
+        import importlib
+        fit_method_class_name = config.get("fit_method_class", None)
+        assert fit_method_class_name is not None
+        module_name, class_name = fit_method_class_name.rsplit(".", 1)
+        module = importlib.import_module(module_name)
+        fit_method = getattr(module, class_name)()
+        return cast(PairsTradingFitMethod, fit_method)
 
     @abstractmethod
     def run_pair(

lib/pt_trading/results.py

@@ -121,7 +121,7 @@ def store_config_in_database(
     config_file_path: str,
     config: Dict,
     fit_method_class: str,
-    datafiles: List[str],
+    datafiles: List[Tuple[str, str]],
     instruments: List[Dict[str, str]],
 ) -> None:
     """
@@ -140,7 +140,7 @@ def store_config_in_database(
         config_json = json.dumps(config, indent=2, default=str)
 
         # Convert lists to comma-separated strings for storage
-        datafiles_str = ", ".join(datafiles)
+        datafiles_str = ", ".join([f"{datafile}" for _, datafile in datafiles])
         instruments_str = ", ".join(
             [
                 f"{inst['symbol']}:{inst['instrument_type']}:{inst['exchange_id']}"
@@ -613,7 +613,7 @@ class BacktestResult:
         return current_value_a, current_value_b, total_current_value
     
     def store_results_in_database(
-        self, db_path: str, datafile: str
+        self, db_path: str, day: str
     ) -> None:
         """
         Store backtest results in the SQLite database.
@@ -623,8 +623,7 @@ class BacktestResult:
 
         try:
             # Extract date from datafile name (assuming format like 20250528.mktdata.ohlcv.db)
-            filename = os.path.basename(datafile)
+            date_str = day
-            date_str = filename.split(".")[0]  # Extract date part
 
             # Convert to proper date format
             try:

lib/pt_trading/trading_pair.py

@@ -86,7 +86,12 @@ class TradingPair(ABC):
     # predicted_df_: Optional[pd.DataFrame]
 
     def __init__(
-        self, config: Dict[str, Any], market_data: pd.DataFrame, symbol_a: str, symbol_b: str, price_column: str
+        self,
+        config: Dict[str, Any],
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+        price_column: str,
     ):
         self.symbol_a_ = symbol_a
         self.symbol_b_ = symbol_b
@@ -102,16 +107,20 @@ class TradingPair(ABC):
         )
 
         self.market_data_ = self.market_data_.dropna().reset_index(drop=True)
-        self.market_data_['tstamp'] = pd.to_datetime(self.market_data_['tstamp'])
+        self.market_data_["tstamp"] = pd.to_datetime(self.market_data_["tstamp"])
-        self.market_data_ = self.market_data_.sort_values('tstamp')
+        self.market_data_ = self.market_data_.sort_values("tstamp")
 
     def get_begin_index(self) -> int:
         if "trading_hours" not in self.config_:
             return 0
         assert "timezone" in self.config_["trading_hours"]
         assert "begin_session" in self.config_["trading_hours"]
-        start_time = pd.to_datetime(self.config_["trading_hours"]["begin_session"]).tz_localize(self.config_["trading_hours"]["timezone"]).time()
+        start_time = (
-        mask = self.market_data_['tstamp'].dt.time >= start_time
+            pd.to_datetime(self.config_["trading_hours"]["begin_session"])
+            .tz_localize(self.config_["trading_hours"]["timezone"])
+            .time()
+        )
+        mask = self.market_data_["tstamp"].dt.time >= start_time
         return int(self.market_data_.index[mask].min())
 
     def get_end_index(self) -> int:
@@ -119,8 +128,12 @@ class TradingPair(ABC):
             return 0
         assert "timezone" in self.config_["trading_hours"]
         assert "end_session" in self.config_["trading_hours"]
-        end_time = pd.to_datetime(self.config_["trading_hours"]["end_session"]).tz_localize(self.config_["trading_hours"]["timezone"]).time()
+        end_time = (
-        mask = self.market_data_['tstamp'].dt.time <= end_time
+            pd.to_datetime(self.config_["trading_hours"]["end_session"])
+            .tz_localize(self.config_["trading_hours"]["timezone"])
+            .time()
+        )
+        mask = self.market_data_["tstamp"].dt.time <= end_time
         return int(self.market_data_.index[mask].max())
 
     def _transform_dataframe(self, df: pd.DataFrame) -> pd.DataFrame:
@@ -171,7 +184,7 @@ class TradingPair(ABC):
 
         testing_start_index = training_start_index + training_minutes
         self.training_df_ = self.market_data_.iloc[
-            training_start_index:testing_start_index, : training_minutes
+            training_start_index:testing_start_index, :training_minutes
         ].copy()
         assert self.training_df_ is not None
         self.training_df_ = self.training_df_.dropna().reset_index(drop=True)
@@ -213,7 +226,11 @@ class TradingPair(ABC):
                                 trades[col] = pd.Timestamp.now()
                             elif col in ["action", "symbol"]:
                                 trades[col] = ""
-                            elif col in ["price", "disequilibrium", "scaled_disequilibrium"]:
+                            elif col in [
+                                "price",
+                                "disequilibrium",
+                                "scaled_disequilibrium",
+                            ]:
                                 trades[col] = 0.0
                             elif col == "pair":
                                 trades[col] = None
@@ -222,13 +239,13 @@ class TradingPair(ABC):
 
                 # Concatenate with explicit dtypes to avoid warnings
                 self.user_data_["trades"] = pd.concat(
-                    [existing_trades, trades], 
+                    [existing_trades, trades], ignore_index=True, copy=False
-                    ignore_index=True,
-                    copy=False
                 )
 
     def get_trades(self) -> pd.DataFrame:
-        return self.user_data_["trades"] if "trades" in self.user_data_ else pd.DataFrame()
+        return (
+            self.user_data_["trades"] if "trades" in self.user_data_ else pd.DataFrame()
+        )
 
     def cointegration_check(self) -> Optional[pd.DataFrame]:
         print(f"***{self}*** STARTING....")
@@ -237,16 +254,18 @@ class TradingPair(ABC):
         curr_training_start_idx = 0
 
         COINTEGRATION_DATA_COLUMNS = {
-            "tstamp" : "datetime64[ns]",
+            "tstamp": "datetime64[ns]",
-            "pair" : "string",
+            "pair": "string",
-            "eg_pvalue" : "float64",
+            "eg_pvalue": "float64",
-            "johansen_lr1" : "float64",
+            "johansen_lr1": "float64",
-            "johansen_cvt" : "float64",
+            "johansen_cvt": "float64",
-            "eg_is_cointegrated" : "bool",
+            "eg_is_cointegrated": "bool",
-            "johansen_is_cointegrated" : "bool",
+            "johansen_is_cointegrated": "bool",
         }
         # Initialize trades DataFrame with proper dtypes to avoid concatenation warnings
-        result: pd.DataFrame = pd.DataFrame(columns=[col for col in COINTEGRATION_DATA_COLUMNS.keys()]) #.astype(COINTEGRATION_DATA_COLUMNS)
+        result: pd.DataFrame = pd.DataFrame(
+            columns=[col for col in COINTEGRATION_DATA_COLUMNS.keys()]
+        )  # .astype(COINTEGRATION_DATA_COLUMNS)
 
         training_minutes = config["training_minutes"]
         while True:
@@ -271,7 +290,10 @@ class TradingPair(ABC):
 
     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) :
+        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)
@@ -290,7 +312,8 @@ class TradingPair(ABC):
         return False
 
     def on_open_trades(self, trades: pd.DataFrame) -> None:
-        if "close_trades" in self.user_data_: del self.user_data_["close_trades"]
+        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:
@@ -302,18 +325,23 @@ class TradingPair(ABC):
             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
+                sign = -1 if instrument_open_trades["side"].iloc[0] == "SELL" else 1
                 instrument_price = predicted_row[f"{self.price_column_}_{symbol}"]
-                instrument_return = sign * (instrument_price - instrument_open_price) / instrument_open_price
+                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 instrument_a_return + instrument_b_return
         return 0.0
 
     def __repr__(self) -> str:
@@ -328,4 +356,3 @@ class TradingPair(ABC):
 
     # @abstractmethod
     # def predicted_df(self) -> Optional[pd.DataFrame]: ...
-

lib/tools/data_loader.py

@@ -5,7 +5,7 @@ from typing import Dict, List, cast
 import pandas as pd
 
 
-def load_sqlite_to_dataframe(db_path, query):
+def load_sqlite_to_dataframe(db_path:str, query:str) -> pd.DataFrame:
     try:
         conn = sqlite3.connect(db_path)
 

research/pt_backtest.py

@@ -3,7 +3,7 @@ import glob
 import importlib
 import os
 from datetime import date, datetime
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List, Optional, Tuple
 
 import pandas as pd
 
@@ -17,11 +17,13 @@ from pt_trading.results import (
 from pt_trading.fit_method import PairsTradingFitMethod
 from pt_trading.trading_pair import TradingPair
 
+DayT = str
+DataFileNameT = str
 
 def resolve_datafiles(
     config: Dict, date_pattern: str, instruments: List[Dict[str, str]]
-) -> List[str]:
+) -> List[Tuple[DayT, DataFileNameT]]:
-    resolved_files = []
+    resolved_files: List[Tuple[DayT, DataFileNameT]] = []
     for inst in instruments:
         pattern = date_pattern
         inst_type = inst["instrument_type"]
@@ -31,12 +33,17 @@ def resolve_datafiles(
             if not os.path.isabs(pattern):
                 pattern = os.path.join(data_dir, f"{pattern}.mktdata.ohlcv.db")
             matched_files = glob.glob(pattern)
-            resolved_files.extend(matched_files)
+            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(pattern)
+            resolved_files.append((date_pattern, pattern))
     return sorted(list(set(resolved_files)))  # Remove duplicates and sort
 
 
@@ -61,7 +68,7 @@ def get_instruments(args: argparse.Namespace, config: Dict) -> List[Dict[str, st
 
 def run_backtest(
     config: Dict,
-    datafile: str,
+    datafiles: List[str],
     price_column: str,
     fit_method: PairsTradingFitMethod,
     instruments: List[Dict[str, str]],
@@ -70,10 +77,14 @@ def run_backtest(
     Run backtest for all pairs using the specified instruments.
     """
     bt_result: BacktestResult = BacktestResult(config=config)
+    if len(datafiles) < 2:
+        print(f"WARNING: insufficient data files: {datafiles}")
+        return bt_result
 
     pairs_trades = []
+
     pairs = create_pairs(
-        datafile=datafile,
+        datafiles=datafiles,
         fit_method=fit_method,
         price_column=price_column,
         config=config,
@@ -92,7 +103,6 @@ def run_backtest(
     bt_result.collect_single_day_results(pairs_trades)
     return bt_result
 
-
 def main() -> None:
     parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
     parser.add_argument(
@@ -122,11 +132,7 @@ def main() -> None:
     config: Dict = load_config(args.config)
 
     # Dynamically instantiate fit method class
-    fit_method_class_name = config.get("fit_method_class", None)
+    fit_method = PairsTradingFitMethod.create(config)
-    assert fit_method_class_name is not None
-    module_name, class_name = fit_method_class_name.rsplit(".", 1)
-    module = importlib.import_module(module_name)
-    fit_method = getattr(module, class_name)()
 
     # Resolve data files (CLI takes priority over config)
     instruments = get_instruments(args, config)
@@ -136,6 +142,7 @@ def main() -> None:
         print("No data files found to process.")
         return
 
+    days = list(set([day for day, _ in datafiles]))
     print(f"Found {len(datafiles)} data files to process:")
     for df in datafiles:
         print(f"  - {df}")
@@ -158,7 +165,7 @@ def main() -> None:
             db_path=args.result_db,
             config_file_path=args.config,
             config=config,
-            fit_method_class=fit_method_class_name,
+            fit_method_class=config["fit_method_class"],
             datafiles=datafiles,
             instruments=instruments,
         )
@@ -166,8 +173,9 @@ def main() -> None:
     # Process each data file
     price_column = config["price_column"]
 
-    for datafile in datafiles:
+    for day in sorted(days):
-        print(f"\n====== Processing {os.path.basename(datafile)} ======")
+        md_datafiles = [datafile for md_day, datafile in datafiles if md_day == day]
+        print(f"\n====== Processing {day} ======")
 
         # Process data for this file
         try:
@@ -175,14 +183,14 @@ def main() -> None:
 
             bt_results = run_backtest(
                 config=config,
-                datafile=datafile,
+                datafiles=md_datafiles,
                 price_column=price_column,
                 fit_method=fit_method,
                 instruments=instruments,
             )
 
-            # Store results with file name as key
+            # Store results with day name as key
-            filename = os.path.basename(datafile)
+            filename = os.path.basename(day)
             all_results[filename] = {
                 "trades": bt_results.trades.copy(),
                 "outstanding_positions": bt_results.outstanding_positions.copy(),
@@ -198,12 +206,12 @@ def main() -> None:
                         }
                     }
                 )
-                bt_results.store_results_in_database(args.result_db, datafile)
+                bt_results.store_results_in_database(db_path=args.result_db, day=day)
 
             print(f"Successfully processed {filename}")
 
         except Exception as err:
-            print(f"Error processing {datafile}: {str(err)}")
+            print(f"Error processing {day}: {str(err)}")
             import traceback
 
             traceback.print_exc()

research/research_tools.py

@@ -2,6 +2,7 @@ import glob
 import os
 from typing import Dict, List, Optional
 
+import pandas as pd
 from pt_trading.fit_method import PairsTradingFitMethod
 
 
@@ -45,14 +46,14 @@ def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List
 
 
 def create_pairs(
-    datafile: str,
+    datafiles: List[str],
     fit_method: PairsTradingFitMethod,
     price_column: str,
     config: Dict,
     instruments: List[Dict[str, str]],
 ) -> List:
-    from tools.data_loader import load_market_data
     from pt_trading.trading_pair import TradingPair
+    from tools.data_loader import load_market_data
 
     all_indexes = range(len(instruments))
     unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
@@ -62,16 +63,17 @@ def create_pairs(
     config_copy = config.copy()
     config_copy["instruments"] = instruments
 
-    market_data_df = load_market_data(
+    market_data_df = pd.DataFrame()
-        datafile=datafile,
+    for datafile in datafiles:
-        instruments=instruments,
+        md_df = load_market_data(
-        db_table_name=config_copy["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"],
+            datafile=datafile,
-        trading_hours=config_copy["trading_hours"],
+            instruments=instruments,
-    )
+            db_table_name=config_copy["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"],
+            trading_hours=config_copy["trading_hours"],
+        )
+        market_data_df = pd.concat([market_data_df, md_df])
 
     for a_index, b_index in unique_index_pairs:
-        from research.pt_backtest import TradingPair
-
         pair = fit_method.create_trading_pair(
             config=config_copy,
             market_data=market_data_df,