added window size optimization classes

lib/pt_strategy/trading_strategy.py

@@ -1,22 +1,12 @@
 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
+from typing import Any, Dict, List, Optional
 
 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:
@@ -41,7 +31,6 @@ class PtResearchStrategy:
         self.config_ = config
         self.trades_ = []
         self.trading_pair_ = TradingPair(config=config, instruments=instruments)
-        self.model_data_policy_ = ModelDataPolicy.create(config)
         self.predictions_ = pd.DataFrame()
 
         import copy
@@ -54,6 +43,9 @@ class PtResearchStrategy:
             config=config_copy, md_class=ResearchMarketData
         )
         self.pt_mkt_data_.load()
+        self.model_data_policy_ = ModelDataPolicy.create(
+            config, mkt_data=self.pt_mkt_data_.market_data_df_, pair=self.trading_pair_
+        )
 
     def outstanding_positions(self) -> List[Dict[str, Any]]:
         return list(self.trading_pair_.user_data_.get("outstanding_positions", []))
@@ -67,9 +59,7 @@ class PtResearchStrategy:
         while self.pt_mkt_data_.has_next():
             market_data_series = self.pt_mkt_data_.get_next()
             new_row = pd.DataFrame([market_data_series])
-            market_data_df = pd.concat(
-                [market_data_df, new_row], ignore_index=True
-            )
+            market_data_df = pd.concat([market_data_df, new_row], ignore_index=True)
             if idx >= training_minutes:
                 break
             idx += 1
@@ -85,7 +75,9 @@ class PtResearchStrategy:
             prediction = self.trading_pair_.run(
                 market_data_df, self.model_data_policy_.advance()
             )
-            self.predictions_ = pd.concat([self.predictions_, prediction.to_df()], ignore_index=True)
+            self.predictions_ = pd.concat(
+                [self.predictions_, prediction.to_df()], ignore_index=True
+            )
             assert prediction is not None
 
             trades = self._create_trades(
@@ -223,13 +215,13 @@ class PtResearchStrategy:
             side_b = "SELL"
 
         # save closing sides
-        pair.user_data_["open_side_a"] = side_a # used in oustanding positions
+        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_a"] = side_b  # used for closing trades
         pair.user_data_["close_side_b"] = side_a
 
         # create opening trades