progress. Initial untested version
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@@ -4,11 +4,13 @@ from datetime import date, datetime
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from typing import Any, Dict, List, Optional, Tuple
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import pandas as pd
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# ---
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from cvttpy_tools.config import Config
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# ---
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from cvttpy_trading.trading.instrument import ExchangeInstrument
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# ---
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from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
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# Recommended replacement adapters and converters for Python 3.12+
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# From: https://docs.python.org/3/library/sqlite3.html#sqlite3-adapter-converter-recipes
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def adapt_date_iso(val: date) -> str:
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@@ -20,12 +22,10 @@ def adapt_datetime_iso(val: datetime) -> str:
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"""Adapt datetime.datetime to timezone-naive ISO 8601 date."""
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return val.isoformat()
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def convert_date(val: bytes) -> date:
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"""Convert ISO 8601 date to datetime.date object."""
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return datetime.fromisoformat(val.decode()).date()
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def convert_datetime(val: bytes) -> datetime:
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"""Convert ISO 8601 datetime to datetime.datetime object."""
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return datetime.fromisoformat(val.decode())
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@@ -120,7 +120,7 @@ def create_result_database(db_path: str) -> None:
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def store_config_in_database(
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db_path: str,
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config_file_path: str,
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config: Dict,
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config: Config,
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datafiles: List[Tuple[str, str]],
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instruments: List[ExchangeInstrument],
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) -> None:
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@@ -137,7 +137,7 @@ def store_config_in_database(
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cursor = conn.cursor()
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# Convert config to JSON string
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config_json = json.dumps(config, indent=2, default=str)
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config_json = json.dumps(config.data(), indent=2, default=str)
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# Convert lists to comma-separated strings for storage
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datafiles_str = ", ".join([f"{datafile}" for _, datafile in datafiles])
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@@ -206,9 +206,9 @@ class PairResearchResult:
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trades_: Dict[DayT, pd.DataFrame]
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outstanding_positions_: Dict[DayT, List[OutstandingPositionT]]
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symbol_roundtrip_trades_: Dict[str, List[Dict[str, Any]]]
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config_: Config
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def __init__(self, config: Dict[str, Any]) -> None:
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def __init__(self, config: Config) -> None:
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self.config_ = config
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self.trades_ = {}
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self.outstanding_positions_ = {}
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@@ -220,13 +220,6 @@ class PairResearchResult:
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self.trades_[day] = trades
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self.outstanding_positions_[day] = outstanding_positions
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# def all_trades(self) -> List[TradeT]:
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# """Get all trades across all days as a flat list."""
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# all_trades_list: List[TradeT] = []
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# for day_trades in self.trades_.values():
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# all_trades_list.extend(day_trades.to_dict(orient="records"))
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# return all_trades_list
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def outstanding_positions(self) -> List[OutstandingPositionT]:
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"""Get all outstanding positions across all days as a flat list."""
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res: List[Dict[str, Any]] = []
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