research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2025-07-14 00:41:46 +00:00
parent b24285802a
commit 3b003c7811
7 changed files with 132 additions and 52 deletions
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lib/pt_trading/trading_pair.py
+32 -3
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@@ -179,10 +179,39 @@ class TradingPair:
return result
def add_trades(self, trades: pd.DataFrame) -> None:
if self.user_data_["trades"] is None:
self.user_data_["trades"] = pd.DataFrame(trades)
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()
else:
self.user_data_["trades"] = pd.concat([self.user_data_["trades"], pd.DataFrame(trades)], ignore_index=True)
# 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
)
def get_trades(self) -> pd.DataFrame:
return self.user_data_["trades"] if "trades" in self.user_data_ else pd.DataFrame()