to discard

.gitignore

@@ -1,11 +1,11 @@
 # SpecStory explanation file
 __pycache__/
 __OLD__/
-.specstory/
 .history/
 .cursorindexingignore
 data
-.vscode/
+####.vscode/
 cvttpy
 # SpecStory explanation file
 .specstory/.what-is-this.md
+results/

PAIRS_TRADING_BACKTEST_USAGE.md

@@ -0,0 +1,185 @@
+# Enhanced Pairs Trading Backtest Usage Guide
+
+## Overview
+
+The enhanced `pt_backtest.py` script now supports multi-day and multi-instrument backtesting with SQLite database output. This guide explains how to use the new features.
+
+## New Features
+
+### 1. Multi-Day Data Processing
+- Process multiple data files in a single run
+- Support for wildcard patterns in configuration files
+- CLI override for data file specification
+
+
+### 2. Dynamic Instrument Selection
+- Auto-detection of instruments from database
+- CLI override for instrument specification
+- No need to manually update configuration files
+
+### 3. SQLite Database Output
+- Automated storage of backtest results
+- Structured data format for analysis
+- Optional database output (can be disabled)
+
+## Command Line Arguments
+
+### Required Arguments
+- `--config`: Path to configuration file
+- `--result_db`: Path to SQLite database for results (use "NONE" to disable)
+
+### Optional Arguments
+- `--datafiles`: Comma-separated list of data files (overrides config)
+- `--instruments`: Comma-separated list of instruments (overrides auto-detection)
+
+## Usage Examples
+
+### Basic Usage (Auto-detect instruments, use config datafiles)
+```bash
+python src/pt_backtest.py --config configuration/crypto.cfg --result_db results.db
+```
+
+### Specify Instruments via CLI
+```bash
+python src/pt_backtest.py \
+    --config configuration/crypto.cfg \
+    --result_db results.db \
+    --instruments "BTC-USDT,ETH-USDT,ADA-USDT"
+```
+
+### Override Data Files via CLI
+```bash
+python src/pt_backtest.py \
+    --config configuration/crypto.cfg \
+    --result_db results.db \
+    --datafiles "20250528.mktdata.ohlcv.db,20250529.mktdata.ohlcv.db"
+```
+
+### Complete Override (Custom instruments and data files)
+```bash
+python src/pt_backtest.py \
+    --config configuration/crypto.cfg \
+    --result_db results.db \
+    --instruments "BTC-USDT,ETH-USDT" \
+    --datafiles "20250528.mktdata.ohlcv.db,20250529.mktdata.ohlcv.db"
+```
+
+### Disable Database Output
+```bash
+python src/pt_backtest.py \
+    --config configuration/crypto.cfg \
+    --result_db NONE
+```
+
+## Configuration File Updates
+
+### Wildcard Support in Data Files
+The configuration file now supports wildcards in the `datafiles` array:
+
+```json
+{
+    "datafiles": [
+        "2025*.mktdata.ohlcv.db",
+        "specific_file.db",
+        "202405*.mktdata.ohlcv.db"
+    ]
+}
+```
+
+### Multiple Patterns
+You can specify multiple wildcard patterns:
+
+```json
+{
+    "datafiles": [
+        "202405*.mktdata.ohlcv.db",
+        "202406*.mktdata.ohlcv.db",
+        "special_data.db"
+    ]
+}
+```
+
+## Database Schema
+
+The script creates a `pt_bt_results` table with the following schema:
+
+| Column | Type | Description |
+|--------|------|-------------|
+| date | DATE | Trading date extracted from filename |
+| pair | TEXT | Trading pair name (e.g., "BTC-USDT & ETH-USDT") |
+| symbol | TEXT | Individual symbol (e.g., "BTC-USDT") |
+| open_time | DATETIME | Trade opening time |
+| open_side | TEXT | Opening side (BUY/SELL) |
+| open_price | REAL | Opening price |
+| open_quantity | INTEGER | Opening quantity |
+| open_disequilibrium | REAL | Disequilibrium at opening |
+| close_time | DATETIME | Trade closing time |
+| close_side | TEXT | Closing side (BUY/SELL) |
+| close_price | REAL | Closing price |
+| close_quantity | INTEGER | Closing quantity |
+| close_disequilibrium | REAL | Disequilibrium at closing |
+| symbol_return | REAL | Individual symbol return (%) |
+| pair_return | REAL | Combined pair return (%) |
+
+## Auto-Detection Logic
+
+### Instrument Auto-Detection
+When `--instruments` is not specified, the script:
+1. Connects to each data file
+2. Queries distinct `instrument_id` values from the configured table
+3. Removes the configured prefix (`instrument_id_pfx`)
+4. Uses the resulting symbols for pair generation
+
+### Data File Resolution
+The script resolves data files in this order:
+1. If `--datafiles` is specified, use those files
+2. Otherwise, process each pattern in config `datafiles`:
+   - Expand wildcards using `glob.glob()`
+   - Resolve relative paths using `data_directory`
+   - Remove duplicates and sort
+
+## Output
+
+### Console Output
+- Lists all data files to be processed
+- Shows auto-detected or specified instruments
+- Displays trade signals for each file
+- Prints returns by day and pair
+- Shows grand totals and outstanding positions
+
+### Database Output
+- Creates database and table automatically
+- Stores detailed trade information
+- Includes calculated returns
+- One record per symbol per trade
+
+## Error Handling
+
+The script includes comprehensive error handling:
+- Invalid data files are skipped with warnings
+- Database connection errors are reported
+- Auto-detection failures fall back gracefully
+- Processing errors are logged with stack traces
+
+## Performance Considerations
+
+- Wildcard expansion happens once at startup
+- Database connections are opened/closed per operation
+- Large numbers of files are processed sequentially
+- Memory usage scales with the number of instruments and data points
+
+## Troubleshooting
+
+### Common Issues
+
+1. **No instruments found**: Check that the database contains data for the specified exchange_id
+2. **No data files found**: Verify wildcard patterns and data_directory path
+3. **Database errors**: Ensure write permissions for the result database path
+4. **Memory issues**: Consider processing fewer files at once or reducing instrument count
+
+### Debug Tips
+
+- Use `--result_db NONE` to disable database output during testing
+- Start with a small set of instruments using `--instruments`
+- Test with explicit file lists using `--datafiles` before using wildcards
+- Check console output for detailed processing information 

README.md

@@ -0,0 +1,132 @@
+# Pairs Trading Backtest
+
+This document provides a guide to understanding, configuring, and running the pairs trading backtest system.
+
+## Overview
+
+The system is designed to backtest pairs trading strategies on historical market data. 
+It allows users to select different strategies, configure parameters, and analyze the 
+performance of these strategies.
+
+## Core Concepts
+
+### Trading Pair
+A trading pair consists of two financial instruments (e.g., stocks or cryptocurrencies) 
+whose prices are believed to have a long-term statistical relationship (cointegration). 
+The strategy aims to profit from temporary deviations from this relationship.
+
+### Strategy
+The system supports different strategies for identifying and exploiting trading opportunities. Each strategy has its own set of configurable parameters.
+
+### Trading Signals
+Trading signals indicate when to open or close a position based on the configured strategy 
+and parameters. These signals are typically generated when the "dis-equilibrium" (the 
+deviation from the long-term relationship) crosses certain thresholds.
+
+## Running a Backtest
+
+### 1. Configuration
+
+The primary configuration for the backtest is managed in the `src/pt_backtest.py` file. Here, you will define which dataset to use (cryptocurrencies or equities) and which strategy to employ.
+
+#### Choosing a Dataset:
+You can switch between `CRYPTO_CONFIG` and `EQT_CONFIG` by uncommenting the desired configuration block:
+
+```python
+# CONFIG = CRYPTO_CONFIG  # For cryptocurrency data
+CONFIG = EQT_CONFIG      # For equity data
+```
+
+Each configuration dictionary specifies:
+- `data_directory`: Path to the data files.
+- `datafiles`: A list of database files to process. You can comment/uncomment specific files to include/exclude them from the backtest.
+- `db_table_name`: The name of the table within the SQLite database.
+- `instruments`: A list of symbols to consider for forming trading pairs.
+- `trading_hours`: Defines the session start and end times, crucial for equity markets.
+- `stat_model_price`: The column in the data to be used as the price (e.g., "close").
+- `dis-equilibrium_open_trshld`: The threshold (in standard deviations) of the dis-equilibrium for opening a trade.
+- `dis-equilibrium_close_trshld`: The threshold (in standard deviations) of the dis-equilibrium for closing an open trade.
+- `training_minutes`: The length of the rolling window (in minutes) used to train the model (e.g., calculate cointegration, mean, and standard deviation of the dis-equilibrium).
+- `funding_per_pair`: The amount of capital allocated to each trading pair.
+
+#### Choosing a Strategy:
+The system currently offers two main strategies: `StaticFitStrategy` and `SlidingFitStrategy`. You select a strategy by instantiating it:
+
+```python
+# STRATEGY = StaticFitStrategy()
+STRATEGY = SlidingFitStrategy()
+```
+
+- **`StaticFitStrategy`**: This strategy fits the cointegration model once at the beginning 
+  of each trading day (or for the entire dataset if run on a single file without a rolling 
+  window logic in the strategy itself). The parameters (mean, standard deviation of 
+  dis-equilibrium) derived from this initial fit are used for generating trading signals 
+  throughout the day.
+    - **Pros**: Simpler, computationally less intensive.
+    - **Cons**: May not adapt well to changing market conditions during the day.
+
+- **`SlidingFitStrategy`**: This strategy uses a rolling window approach. The cointegration model and its parameters are re-estimated at regular intervals (defined by `training_minutes` and how the strategy implements the sliding window). This allows the strategy to adapt to evolving market dynamics.
+    - **Pros**: More adaptive to changing market conditions.
+    - **Cons**: Computationally more intensive. The `training_minutes` parameter is crucial here as it defines the look-back period for each re-estimation.
+
+### 2. Parameters for Trading Signals
+
+The key parameters that determine trading signals are primarily found within the `CONFIG` dictionaries:
+
+- **`dis-equilibrium_open_trshld`**: This is the number of standard deviations the current dis-equilibrium must move away from its mean (calculated during the training period) to trigger an opening signal.
+    - A *higher* value means the strategy will wait for a more significant deviation before entering a trade, leading to fewer but potentially more robust signals.
+    - A *lower* value means the strategy will enter trades on smaller deviations, leading to more frequent signals but potentially more false positives.
+
+- **`dis-equilibrium_close_trshld`**: This is the number of standard deviations the current dis-equilibrium must revert towards its mean (from its peak deviation) to trigger a closing signal.
+    - A *higher* value (closer to the `dis-equilibrium_open_trshld`) means the strategy will close trades more quickly as the dis-equilibrium starts to revert.
+    - A *lower* value (closer to zero) means the strategy will hold onto trades longer, waiting for the dis-equilibrium to revert more significantly towards the mean.
+
+- **`training_minutes`**:
+    - For `StaticFitStrategy`, this determines the initial period of data used to establish the cointegration relationship and calculate the baseline dis-equilibrium statistics for the entire trading day (or dataset portion being processed).
+    - For `SlidingFitStrategy`, this defines the length of the rolling window. The model is refit using data from the most recent `training_minutes` period. A shorter window makes the strategy more responsive to recent price action but might be more prone to noise. A longer window provides a more stable model but might be slower to adapt to new trends.
+
+### 3. Running the Script
+
+Once the configuration is set, you can run the backtest from your terminal:
+
+```bash
+python src/pt_backtest.py
+```
+
+The script will process each datafile specified in the `CONFIG`, create all possible unique pairs from the `instruments` list, and apply the chosen strategy.
+
+### 4. Interpreting Results
+
+The script will output:
+- Progress messages for each datafile being processed.
+- A summary of trades taken.
+- Grand totals of performance metrics (PnL, etc.).
+- A list of any outstanding positions at the end of the backtest.
+
+The core logic for a pair involves:
+1.  **Data Preparation**: For each pair, relevant price series are extracted.
+2.  **Training Phase** (for `SlidingFitStrategy`, this happens repeatedly; for `StaticFitStrategy`, typically once per day/file):
+    *   The `get_datasets()` method in `TradingPair` splits data into training and testing sets.
+    *   `check_cointegration()` uses the Johansen test to see if the pair's price series are cointegrated within the current training window. If not, the pair is often skipped for that window.
+    *   If cointegrated, `fit_VECM()` estimates a Vector Error Correction Model (VECM). The `beta` coefficients from this model define the cointegrating relationship (the "spread" or "dis-equilibrium series").
+    *   `training_mu_` (mean) and `training_std_` (standard deviation) of this dis-equilibrium series are calculated. These are crucial for scaling the dis-equilibrium and setting trade thresholds.
+3.  **Prediction/Trading Phase**:
+    *   The strategy iterates through the "testing" data points.
+    *   For each point, the current dis-equilibrium is calculated using the `beta` from the VECM.
+    *   This dis-equilibrium is then scaled: `(current_disequilibrium - training_mu_) / training_std_`.
+    *   This scaled value is compared against `dis-equilibrium_open_trshld` and `dis-equilibrium_close_trshld` to generate buy/sell/close signals.
+
+## Customizing and Extending
+
+-   **Adding New Strategies**: Create a new class that inherits from a base strategy class (if one exists) or implements a similar interface to `StaticFitStrategy` or `SlidingFitStrategy`. The core method to implement would be `run_pair()`.
+-   **Modifying Data Loading**: The `tools/data_loader.py` can be modified to support different data formats or sources.
+-   **Changing Cointegration/Model Parameters**: The `TradingPair` class houses the VECM fitting and cointegration checks. You can adjust parameters like `k_ar_diff` in `coint_johansen` or the `VECM` model itself.
+
+## Important Considerations
+
+-   **Data Quality**: Ensure your market data is clean, accurate, and properly formatted. Gaps or errors in data can significantly impact backtest results.
+-   **Transaction Costs**: The current backtest might not explicitly model transaction costs (brokerage fees, slippage). These can have a significant impact on the profitability of high-frequency strategies. Consider adding a cost model to `BacktestResult` or within the strategy execution.
+-   **Look-ahead Bias**: Be extremely careful to avoid look-ahead bias. Ensure that decisions at any point in time are made using only information that would have been available at that time. The use of `training_df_` and `testing_df_` in `TradingPair` is designed to help prevent this.
+-   **Overfitting**: When optimizing parameters (`dis-equilibrium_open_trshld`, `training_minutes`, etc.), be mindful of overfitting to the historical data. A strategy that performs exceptionally well on past data may not perform well in the future. Use out-of-sample testing or walk-forward optimization for more robust validation.
+
+This tutorial should provide a solid foundation for working with the pairs trading backtest system. Experiment with different configurations and strategies to find what works best for your chosen markets and instruments.

configuration/equity.cfg

@@ -0,0 +1,27 @@
+{
+    "security_type": "EQUITY",
+    "data_directory": "./data/equity",
+    "datafiles": [
+        "20250618.mktdata.ohlcv.db",
+    ],
+    "db_table_name": "md_1min_bars",
+    "exchange_id": "ALPACA",
+    "instrument_id_pfx": "STOCK-",
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "16:00:00",
+        "timezone": "America/New_York"
+    },
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 1.0,
+    "training_minutes": 120,
+    "funding_per_pair": 2000.0,
+    # "fit_method_class": "pt_trading.sliding_fit.SlidingFit",
+    "fit_method_class": "pt_trading.static_fit.StaticFit",
+    "exclude_instruments": ["CAN"],
+    "close_outstanding_positions": false
+    
+}

configuration/equity_lg.cfg

@@ -0,0 +1,26 @@
+{
+    "security_type": "EQUITY",
+    "data_directory": "./data/equity",
+    "datafiles": [
+        "20250602.mktdata.ohlcv.db",
+    ],
+    "db_table_name": "md_1min_bars",
+    "exchange_id": "ALPACA",
+    "instrument_id_pfx": "STOCK-",
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "16:00:00",
+        "timezone": "America/New_York"
+    },
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 1.0,
+    "training_minutes": 120,
+    "funding_per_pair": 2000.0,
+    "fit_method_class": "pt_trading.fit_methods.StaticFit",
+    "exclude_instruments": ["CAN"]
+}
+# "fit_method_class": "pt_trading.fit_methods.SlidingFit",
+# "fit_method_class": "pt_trading.fit_methods.StaticFit",

configuration/vecm.cfg

@@ -0,0 +1,43 @@
+{
+    "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 ======
+    "stat_model_price": "close", # "vwap"
+    "execution_price": {
+        "column": "vwap",
+        "shift": 1,
+    },
+    "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/zscore.cfg

@@ -0,0 +1,42 @@
+{
+    "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 ======
+    "stat_model_price": "close",
+    "execution_price": {
+        "column": "vwap",
+        "shift": 1,
+    },
+    "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": "18:30:00",
+    }
+}

lg_notes.md

@@ -0,0 +1,115 @@
+07.11.2025
+pairs_trading/configuration <---- directory for config
+equity_lg.cfg <-------- copy of equity.cfg
+How to run a Program: TRIANGLEsquare ----> triangle EQUITY backtest
+Results are in  > results (timestamp table for all runs)
+table "...timestamp... .pt_backtest_results.equity.db"
+going to table  using sqlite
+> sqlite3 '/home/coder/results/20250721_175750.pt_backtest_results.equity.db'
+
+sqlite> .databases
+main: /home/coder/results/20250717_180122.pt_backtest_results.equity.db r/w
+sqlite> .tables
+config                 outstanding_positions  pt_bt_results   
+
+sqlite> PRAGMA table_info('pt_bt_results');
+0|date|DATE|0||0
+1|pair|TEXT|0||0
+2|symbol|TEXT|0||0
+3|open_time|DATETIME|0||0
+4|open_side|TEXT|0||0
+5|open_price|REAL|0||0
+6|open_quantity|INTEGER|0||0
+7|open_disequilibrium|REAL|0||0
+8|close_time|DATETIME|0||0
+9|close_side|TEXT|0||0
+10|close_price|REAL|0||0
+11|close_quantity|INTEGER|0||0
+12|close_disequilibrium|REAL|0||0
+13|symbol_return|REAL|0||0
+14|pair_return|REAL|0||0
+
+select count(*) as cnt from pt_bt_results;
+8
+
+select * from pt_bt_results;
+
+select 
+date, close_time, pair, symbol, symbol_return, pair_return
+from pt_bt_results ;
+
+select date, sum(symbol_return) as daily_return 
+from pt_bt_results where date = '2025-06-18' group by date;
+
+.quit
+
+sqlite3 '/home/coder/results/20250717_172435.pt_backtest_results.equity.db'
+
+sqlite> select date, sum(symbol_return) as daily_return 
+from pt_bt_results group by date;
+
+2025-06-02|1.29845390060828
+...
+2025-06-18|-43.5084977104115 <========== ????? ==========>
+2025-06-20|11.8605547517183
+
+
+select 
+date, close_time, pair, symbol, symbol_return, pair_return
+from pt_bt_results ;
+
+select date, close_time, pair, symbol, symbol_return, pair_return
+from pt_bt_results where date = '2025-06-18';
+
+
+./scripts/load_equity_pair_intraday.sh -A NVDA -B QQQ -d 20250701  -T ./intraday_md
+
+to inspect exactly what sources, formats, and processing steps you can open the script with:
+head -n 50 ./scripts/load_equity_pair_intraday.sh
+
+
+
+✓ Data file found: /home/coder/pairs_trading/data/crypto/20250605.mktdata.ohlcv.db
+
+sqlite3 '/home/coder/results/20250722_201930.pt_backtest_results.crypto.db'
+
+sqlite3 '/home/coder/results/xxxxxxxx_yyyyyy.pt_backtest_results.pseudo.db'
+
+11111111
+=== At your terminal, run these commands:
+sqlite3 '/home/coder/results/20250722_201930.pt_backtest_results.crypto.db'
+=== Then inside the SQLite prompt:
+.mode csv
+.headers on
+.output results_20250722.csv
+SELECT * FROM pt_bt_results;
+.output stdout
+.quit
+
+cd /home/coder/
+
+# === mode csv formats output as CSV
+# === headers on includes column names
+# === output my_table.csv directs output to that file
+# === Run your SELECT query, then revert output
+# === Open my_table.csv in Excel directly
+
+# ======== Using scp (Secure Copy)
+# === On your local machine, open a terminal and run:
+scp cvtt@953f6e8df266:/home/coder/results_20250722.csv ~/Downloads/
+
+
+# ===== convert cvs pandas dataframe ====== -->
+import pandas as pd
+# Replace with the actual path to your CSV file
+file_path = '/home/coder/results_20250722.csv'
+# Read the CSV file into a DataFrame
+df = pd.read_csv(file_path)
+# Show the first few rows
+print(df.head())
+
+
+
+
+
+

lib/cvtt/mkt_data.py

@@ -0,0 +1,188 @@
+#!/usr/bin/env python3
+
+import argparse
+from ast import Sub
+import asyncio
+from functools import partial
+import json
+import logging
+import uuid
+from dataclasses import dataclass
+from typing import Callable, Coroutine, Dict, List, Optional
+
+from numpy.strings import str_len
+import websockets
+from websockets.asyncio.client import ClientConnection
+
+MessageTypeT = str
+SubscriptionIdT = str
+MessageT = Dict
+UrlT = str
+CallbackT = Callable[[MessageTypeT, SubscriptionIdT, MessageT], Coroutine[None, str, None]]
+
+@dataclass
+class CvttPricesSubscription:
+    id_: str
+    exchange_config_name_: str
+    instrument_id_: str
+    interval_sec_: int
+    history_depth_sec_: int
+    is_subscribed_: bool
+    is_historical_: bool
+    callback_: CallbackT
+
+    def __init__(
+        self,
+        exchange_config_name: str,
+        instrument_id: str,
+        interval_sec: int,
+        history_depth_sec: int,
+        callback: CallbackT,
+    ):
+        self.exchange_config_name_ = exchange_config_name
+        self.instrument_id_ = instrument_id
+        self.interval_sec_ = interval_sec
+        self.history_depth_sec_ = history_depth_sec
+        self.callback_ = callback
+        self.id_ = str(uuid.uuid4())
+        self.is_subscribed_ = False
+        self.is_historical_ = history_depth_sec > 0
+
+
+class CvttPricerWebSockClient:
+    # Class members with type hints
+    ws_url_: UrlT
+    websocket_: Optional[ClientConnection]
+    subscriptions_: Dict[SubscriptionIdT, CvttPricesSubscription]
+    is_connected_: bool
+    logger_: logging.Logger
+
+    def __init__(self, url: str):
+        self.ws_url_ = url
+        self.websocket_ = None
+        self.is_connected_ = False
+        self.subscriptions_ = {}
+        self.logger_ = logging.getLogger(__name__)
+        logging.basicConfig(level=logging.INFO)
+
+    async def subscribe(
+        self, subscription: CvttPricesSubscription
+    ) -> str:  # returns subscription id
+
+        if not self.is_connected_:
+            try:
+                self.logger_.info(f"Connecting to {self.ws_url_}")
+                self.websocket_ = await websockets.connect(self.ws_url_)
+                self.is_connected_ = True
+            except Exception as e:
+                self.logger_.error(f"Unable to connect to {self.ws_url_}: {str(e)}")
+                raise e
+
+        subscr_msg = {
+            "type": "subscr",
+            "id": subscription.id_,
+            "subscr_type": "MD_AGGREGATE",
+            "exchange_config_name": subscription.exchange_config_name_,
+            "instrument_id": subscription.instrument_id_,
+            "interval_sec": subscription.interval_sec_,
+        }
+        if subscription.is_historical_:
+            subscr_msg["history_depth_sec"] = subscription.history_depth_sec_
+
+        assert self.websocket_ is not None
+        await self.websocket_.send(json.dumps(subscr_msg))
+
+        response = await self.websocket_.recv()
+        response_data = json.loads(response)
+        if not await self.handle_subscription_response(subscription, response_data):
+            await self.websocket_.close()
+            self.is_connected_ = False
+            raise Exception(f"Subscription failed: {str(response)}")
+
+        self.subscriptions_[subscription.id_] = subscription
+        return subscription.id_
+
+    async def handle_subscription_response(
+        self, subscription: CvttPricesSubscription, response: dict
+    ) -> bool:
+        if response.get("type") != "subscr" or response.get("id") != subscription.id_:
+            return False
+
+        if response.get("status") == "success":
+            self.logger_.info(f"Subscription successful: {json.dumps(response)}")
+            return True
+        elif response.get("status") == "error":
+            self.logger_.error(f"Subscription failed: {response.get('reason')}")
+            return False
+        return False
+
+    async def run(self) -> None:
+        assert self.websocket_
+        try:
+            while self.is_connected_:
+                try:
+                    message = await self.websocket_.recv()
+                    message_str = (
+                        message.decode("utf-8")
+                        if isinstance(message, bytes)
+                        else message
+                    )
+                    await self.process_message(json.loads(message_str))
+                except websockets.ConnectionClosed:
+                    self.logger_.warning("Connection closed")
+                    self.is_connected_ = False
+                    break
+        except Exception as e:
+            self.logger_.error(f"Error occurred: {str(e)}")
+            self.is_connected_ = False
+            await asyncio.sleep(5)  # Wait before reconnecting
+
+    async def process_message(self, message: Dict) -> None:
+        message_type = message.get("type")
+        if message_type in ["md_aggregate", "historical_md_aggregate"]:
+            subscription_id = message.get("subscr_id")
+            if subscription_id not in self.subscriptions_:
+                self.logger_.warning(f"Unknown subscription id: {subscription_id}")
+                return
+
+            subscription = self.subscriptions_[subscription_id]
+            await subscription.callback_(message_type, subscription_id, message)
+        else:
+            self.logger_.warning(f"Unknown message type: {message.get('type')}")
+
+
+async def main() -> None:
+    async def on_message(message_type: MessageTypeT, subscr_id: SubscriptionIdT, message: Dict, instrument_id: str) -> None:
+        print(f"{message_type=} {subscr_id=} {instrument_id}")
+        if message_type == "md_aggregate":
+            aggr = message.get("md_aggregate", [])
+            print(f"[{aggr['tstmp'][:19]}] *** RLTM ***  {message}")
+        elif message_type == "historical_md_aggregate":
+            for aggr in message.get("historical_data", []):
+                print(f"[{aggr['tstmp'][:19]}] *** HIST *** {aggr}")
+        else:
+            print(f"Unknown message type: {message_type}")
+        
+    pricer_client = CvttPricerWebSockClient(
+        "ws://localhost:12346/ws"
+    )
+    await pricer_client.subscribe(CvttPricesSubscription(
+        exchange_config_name="COINBASE_AT",
+        instrument_id="PAIR-BTC-USD",
+        interval_sec=60,
+        history_depth_sec=60*60*24,
+        callback=partial(on_message, instrument_id="PAIR-BTC-USD")
+    ))
+    await pricer_client.subscribe(CvttPricesSubscription(
+        exchange_config_name="COINBASE_AT",
+        instrument_id="PAIR-ETH-USD",
+        interval_sec=60,
+        history_depth_sec=60*60*24,
+        callback=partial(on_message, instrument_id="PAIR-ETH-USD")
+    ))
+
+    await pricer_client.run() 
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

lib/pt_trading/fit_method.py

@@ -0,0 +1,52 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from enum import Enum
+from typing import Dict, Optional, cast
+
+import pandas as pd 
+from pt_trading.results import BacktestResult
+from pt_trading.trading_pair import TradingPair
+
+NanoPerMin = 1e9
+
+
+class PairsTradingFitMethod(ABC):
+    TRADES_COLUMNS = [
+        "time",
+        "symbol",
+        "side",
+        "action",
+        "price",
+        "disequilibrium",
+        "scaled_disequilibrium",
+        "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(
+        self, pair: TradingPair, bt_result: BacktestResult
+    ) -> Optional[pd.DataFrame]: ...
+
+    @abstractmethod
+    def reset(self) -> None: ...
+
+    @abstractmethod
+    def create_trading_pair(
+        self,
+        config: Dict,
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+    ) -> TradingPair: ...
+

lib/pt_trading/results.py

@@ -0,0 +1,743 @@
+import os
+import sqlite3
+from datetime import date, datetime
+from typing import Any, Dict, List, Optional, Tuple
+
+import pandas as pd
+from pt_trading.trading_pair import TradingPair
+
+
+# Recommended replacement adapters and converters for Python 3.12+
+# From: https://docs.python.org/3/library/sqlite3.html#sqlite3-adapter-converter-recipes
+def adapt_date_iso(val: date) -> str:
+    """Adapt datetime.date to ISO 8601 date."""
+    return val.isoformat()
+
+
+def adapt_datetime_iso(val: datetime) -> str:
+    """Adapt datetime.datetime to timezone-naive ISO 8601 date."""
+    return val.isoformat()
+
+
+def convert_date(val: bytes) -> date:
+    """Convert ISO 8601 date to datetime.date object."""
+    return datetime.fromisoformat(val.decode()).date()
+
+
+def convert_datetime(val: bytes) -> datetime:
+    """Convert ISO 8601 datetime to datetime.datetime object."""
+    return datetime.fromisoformat(val.decode())
+
+
+# Register the adapters and converters
+sqlite3.register_adapter(date, adapt_date_iso)
+sqlite3.register_adapter(datetime, adapt_datetime_iso)
+sqlite3.register_converter("date", convert_date)
+sqlite3.register_converter("datetime", convert_datetime)
+
+
+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()
+
+        # Create the pt_bt_results table for completed trades
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS pt_bt_results (
+                date DATE,
+                pair TEXT,
+                symbol TEXT,
+                open_time DATETIME,
+                open_side TEXT,
+                open_price REAL,
+                open_quantity INTEGER,
+                open_disequilibrium REAL,
+                close_time DATETIME,
+                close_side TEXT,
+                close_price REAL,
+                close_quantity INTEGER,
+                close_disequilibrium REAL,
+                symbol_return REAL,
+                pair_return REAL,
+                close_condition TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM pt_bt_results;")
+
+        # Create the outstanding_positions table for open positions
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS outstanding_positions (
+                date DATE,
+                pair TEXT,
+                symbol TEXT,
+                position_quantity REAL,
+                last_price REAL,
+                unrealized_return REAL,
+                open_price REAL,
+                open_side TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM outstanding_positions;")
+
+        # Create the config table for storing configuration JSON for reference
+        cursor.execute(
+            """
+            CREATE TABLE IF NOT EXISTS config (
+                id INTEGER PRIMARY KEY AUTOINCREMENT,
+                run_timestamp DATETIME,
+                config_file_path TEXT,
+                config_json TEXT,
+                fit_method_class TEXT,
+                datafiles TEXT,
+                instruments TEXT
+            )
+        """
+        )
+        cursor.execute("DELETE FROM config;")
+
+        conn.commit()
+        conn.close()
+
+    except Exception as e:
+        print(f"Error creating result database: {str(e)}")
+        raise
+
+
+def store_config_in_database(
+    db_path: str,
+    config_file_path: str,
+    config: Dict,
+    fit_method_class: str,
+    datafiles: List[Tuple[str, str]],
+    instruments: List[Dict[str, str]],
+) -> None:
+    """
+    Store configuration information in the database for reference.
+    """
+    import json
+
+    if db_path.upper() == "NONE":
+        return
+
+    try:
+        conn = sqlite3.connect(db_path)
+        cursor = conn.cursor()
+
+        # Convert config to JSON string
+        config_json = json.dumps(config, indent=2, default=str)
+
+        # Convert lists to comma-separated strings for storage
+        datafiles_str = ", ".join([f"{datafile}" for _, datafile in datafiles])
+        instruments_str = ", ".join(
+            [
+                f"{inst['symbol']}:{inst['instrument_type']}:{inst['exchange_id']}"
+                for inst in instruments
+            ]
+        )
+
+        # Insert configuration record
+        cursor.execute(
+            """
+            INSERT INTO config (
+                run_timestamp, config_file_path, config_json, fit_method_class, datafiles, instruments
+            ) VALUES (?, ?, ?, ?, ?, ?)
+        """,
+            (
+                datetime.now(),
+                config_file_path,
+                config_json,
+                fit_method_class,
+                datafiles_str,
+                instruments_str,
+            ),
+        )
+
+        conn.commit()
+        conn.close()
+
+        print(f"Configuration stored in database")
+
+    except Exception as e:
+        print(f"Error storing configuration in database: {str(e)}")
+        import traceback
+
+        traceback.print_exc()
+
+
+def convert_timestamp(timestamp: Any) -> Optional[datetime]:
+    """Convert pandas Timestamp to Python datetime object for SQLite compatibility."""
+    if timestamp is None:
+        return None
+    if isinstance(timestamp, pd.Timestamp):
+        return timestamp.to_pydatetime()
+    elif isinstance(timestamp, datetime):
+        return timestamp
+    elif isinstance(timestamp, date):
+        return datetime.combine(timestamp, datetime.min.time())
+    elif isinstance(timestamp, str):
+        return datetime.strptime(timestamp, "%Y-%m-%d %H:%M:%S")
+    elif isinstance(timestamp, int):
+        return datetime.fromtimestamp(timestamp)
+    else:
+        raise ValueError(f"Unsupported timestamp type: {type(timestamp)}")
+
+
+
+class BacktestResult:
+    """
+    Class to handle backtest results, trades tracking, PnL calculations, and reporting.
+    """
+
+    def __init__(self, config: Dict[str, Any]):
+        self.config = config
+        self.trades: Dict[str, Dict[str, Any]] = {}
+        self.total_realized_pnl = 0.0
+        self.outstanding_positions: List[Dict[str, Any]] = []
+        self.pairs_trades_: Dict[str, List[Dict[str, Any]]] = {}
+        
+    def add_trade(
+        self,
+        pair_nm: str,
+        symbol: str,
+        side: str,
+        action: str,
+        price: Any,
+        disequilibrium: Optional[float] = None,
+        scaled_disequilibrium: Optional[float] = None,
+        timestamp: Optional[datetime] = None,
+        status: Optional[str] = None,
+    ) -> None:
+        """Add a trade to the results tracking."""
+        pair_nm = str(pair_nm)
+
+        if pair_nm not in self.trades:
+            self.trades[pair_nm] = {symbol: []}
+        if symbol not in self.trades[pair_nm]:
+            self.trades[pair_nm][symbol] = []
+        self.trades[pair_nm][symbol].append(
+            {
+                "symbol": symbol,
+                "side": side,
+                "action": action,
+                "price": price,
+                "disequilibrium": disequilibrium,
+                "scaled_disequilibrium": scaled_disequilibrium,
+                "timestamp": timestamp,
+                "status": status,
+            }
+        )
+
+    def add_outstanding_position(self, position: Dict[str, Any]) -> None:
+        """Add an outstanding position to tracking."""
+        self.outstanding_positions.append(position)
+
+    def add_realized_pnl(self, realized_pnl: float) -> None:
+        """Add realized PnL to the total."""
+        self.total_realized_pnl += realized_pnl
+
+    def get_total_realized_pnl(self) -> float:
+        """Get total realized PnL."""
+        return self.total_realized_pnl
+
+    def get_outstanding_positions(self) -> List[Dict[str, Any]]:
+        """Get all outstanding positions."""
+        return self.outstanding_positions
+
+    def get_trades(self) -> Dict[str, Dict[str, Any]]:
+        """Get all trades."""
+        return self.trades
+
+    def clear_trades(self) -> None:
+        """Clear all trades (used when processing new files)."""
+        self.trades.clear()
+
+    def collect_single_day_results(self, pairs_trades: List[pd.DataFrame]) -> None:
+        """Collect and process single day trading results."""
+        result = pd.concat(pairs_trades, ignore_index=True)
+        result["time"] = pd.to_datetime(result["time"])
+        result = result.set_index("time").sort_index()
+
+        print("\n --------------  Suggested Trades ")
+        print(result)
+
+        for row in result.itertuples():
+            side = row.side
+            action = row.action
+            symbol = row.symbol
+            price = row.price
+            disequilibrium = getattr(row, "disequilibrium", None)
+            scaled_disequilibrium = getattr(row, "scaled_disequilibrium", None)
+            if hasattr(row, "time"):
+                timestamp = getattr(row, "time")
+            else:
+                timestamp = convert_timestamp(row.Index)
+            status = row.status
+            self.add_trade(
+                pair_nm=str(row.pair),
+                symbol=str(symbol),
+                side=str(side),
+                action=str(action),
+                price=float(str(price)),
+                disequilibrium=disequilibrium,
+                scaled_disequilibrium=scaled_disequilibrium,
+                timestamp=timestamp,
+                status=str(status) if status is not None else "?",
+            )
+
+    def print_single_day_results(self) -> None:
+        """Print single day results summary."""
+        for pair, symbols in self.trades.items():
+            print(f"\n--- {pair} ---")
+            for symbol, trades in symbols.items():
+                for trade_data in trades:
+                    if len(trade_data) >= 2:
+                        side, price = trade_data[:2]
+                        print(f"{symbol} {side} at ${price}")
+
+    def print_results_summary(self, all_results: Dict[str, Dict[str, Any]]) -> None:
+        """Print summary of all processed files."""
+        print("\n====== Summary of All Processed Files ======")
+        for filename, data in all_results.items():
+            trade_count = sum(
+                len(trades)
+                for symbol_trades in data["trades"].values()
+                for trades in symbol_trades.values()
+            )
+            print(f"{filename}: {trade_count} trades")
+
+    def calculate_returns(self, all_results: Dict[str, Dict[str, Any]]) -> None:
+        """Calculate and print returns by day and pair."""
+        def _symbol_return(trade1_side: str, trade1_px: float, trade2_side: str, trade2_px: float) -> float:
+            if trade1_side == "BUY" and trade2_side == "SELL":
+                return (trade2_px - trade1_px) / trade1_px * 100
+            elif trade1_side == "SELL" and trade2_side == "BUY":
+                return (trade1_px - trade2_px) / trade1_px * 100
+            else:
+                return 0
+
+        print("\n====== Returns By Day and Pair ======")
+
+        trades = []
+        for filename, data in all_results.items():
+            pairs = list(data["trades"].keys())
+            for pair in pairs:
+                self.pairs_trades_[pair] = []
+                trades_dict = data["trades"][pair]
+                for symbol in trades_dict.keys():
+                    trades.extend(trades_dict[symbol])
+            trades = sorted(trades, key=lambda x: (x["timestamp"], x["symbol"]))
+
+            print(f"\n--- {filename} ---")
+
+            self.outstanding_positions = data["outstanding_positions"]
+            
+            day_return = 0.0
+            for idx in range(0, len(trades), 4):
+                symbol_a = trades[idx]["symbol"]
+                trade_a_1 = trades[idx]
+                trade_a_2 = trades[idx + 2]
+
+                symbol_b = trades[idx + 1]["symbol"]
+                trade_b_1 = trades[idx + 1]
+                trade_b_2 = trades[idx + 3]
+
+                symbol_return = 0
+                assert (
+                    trade_a_1["timestamp"] < trade_a_2["timestamp"]
+                ), f"Trade 1: {trade_a_1['timestamp']} is not less than Trade 2: {trade_a_2['timestamp']}"
+                assert (
+                    trade_a_1["action"] == "OPEN" and trade_a_2["action"] == "CLOSE"
+                ), f"Trade 1: {trade_a_1['action']} and Trade 2: {trade_a_2['action']} are the same"
+
+                # Calculate return based on action combination
+                trade_return = 0
+                symbol_a_return = _symbol_return(trade_a_1["side"], trade_a_1["price"], trade_a_2["side"], trade_a_2["price"])
+                symbol_b_return = _symbol_return(trade_b_1["side"], trade_b_1["price"], trade_b_2["side"], trade_b_2["price"])
+
+                pair_return = symbol_a_return + symbol_b_return
+
+                self.pairs_trades_[pair].append(
+                    {
+                        "symbol": symbol_a,
+                        "open_side": trade_a_1["side"],
+                        "open_action": trade_a_1["action"],
+                        "open_price": trade_a_1["price"],
+                        "close_side": trade_a_2["side"],
+                        "close_action": trade_a_2["action"],
+                        "close_price": trade_a_2["price"],
+                        "symbol_return": symbol_a_return,
+                        "open_disequilibrium": trade_a_1["disequilibrium"],
+                        "open_scaled_disequilibrium": trade_a_1["scaled_disequilibrium"],
+                        "close_disequilibrium": trade_a_2["disequilibrium"],
+                        "close_scaled_disequilibrium": trade_a_2["scaled_disequilibrium"],
+                        "open_time": trade_a_1["timestamp"],
+                        "close_time": trade_a_2["timestamp"],
+                        "shares": self.config["funding_per_pair"] / 2  / trade_a_1["price"],
+                        "is_completed": True,
+                        "close_condition": trade_a_2["status"],
+                        "pair_return": pair_return
+                    }
+                )
+                self.pairs_trades_[pair].append(
+                    {
+                        "symbol": symbol_b,
+                        "open_side": trade_b_1["side"],
+                        "open_action": trade_b_1["action"],
+                        "open_price": trade_b_1["price"],
+                        "close_side": trade_b_2["side"],
+                        "close_action": trade_b_2["action"],
+                        "close_price": trade_b_2["price"],
+                        "symbol_return": symbol_b_return,
+                        "open_disequilibrium": trade_b_1["disequilibrium"],
+                        "open_scaled_disequilibrium": trade_b_1["scaled_disequilibrium"],
+                        "close_disequilibrium": trade_b_2["disequilibrium"],
+                        "close_scaled_disequilibrium": trade_b_2["scaled_disequilibrium"],
+                        "open_time": trade_b_1["timestamp"],
+                        "close_time": trade_b_2["timestamp"],
+                        "shares": self.config["funding_per_pair"] / 2  / trade_b_1["price"],
+                        "is_completed": True,
+                        "close_condition": trade_b_2["status"],
+                        "pair_return": pair_return
+                    }
+                )
+
+
+            # Print pair returns with disequilibrium information
+            day_return = 0.0
+            if pair in self.pairs_trades_:
+
+                print(f"{pair}:")
+                pair_return = 0.0
+                for trd in self.pairs_trades_[pair]:
+                    disequil_info = ""
+                    if (
+                        trd["open_scaled_disequilibrium"] is not None
+                        and trd["open_scaled_disequilibrium"] is not None
+                    ):
+                        disequil_info = (
+                            f' | Open Dis-eq: {trd["open_scaled_disequilibrium"]:.2f},'
+                            f' Close Dis-eq: {trd["close_scaled_disequilibrium"]:.2f}'
+                        )
+
+                    print(
+                        f' {trd["open_time"].time()}-{trd["close_time"].time()}  {trd["symbol"]}: '
+                        f' {trd["open_side"]} @ ${trd["open_price"]:.2f},'
+                        f' {trd["close_side"]} @ ${trd["close_price"]:.2f},'
+                        f' Return: {trd["symbol_return"]:.2f}%{disequil_info}'
+                    )
+                    pair_return += trd["symbol_return"]
+
+                print(f"    Pair Total Return: {pair_return:.2f}%")
+                day_return += pair_return
+
+            # Print day total return and add to global realized PnL
+            if day_return != 0:
+                print(f"  Day Total Return: {day_return:.2f}%")
+                self.add_realized_pnl(day_return)
+
+    def print_outstanding_positions(self) -> None:
+        """Print all outstanding positions with share quantities and current values."""
+        if not self.get_outstanding_positions():
+            print("\n====== NO OUTSTANDING POSITIONS ======")
+            return
+
+        print(f"\n====== OUTSTANDING POSITIONS ======")
+        print(
+            f"{'Pair':<15}"
+            f" {'Symbol':<10}"
+            f" {'Side':<4}"
+            f" {'Shares':<10}"
+            f" {'Open $':<8}"
+            f" {'Current $':<10}"
+            f" {'Value $':<12}"
+            f" {'Disequilibrium':<15}"
+        )
+        print("-" * 100)
+
+        total_value = 0.0
+
+        for pos in self.get_outstanding_positions():
+            # Print position A
+            print(
+                f"{pos['pair']:<15}"
+                f" {pos['symbol_a']:<10}"
+                f" {pos['side_a']:<4}"
+                f" {pos['shares_a']:<10.2f}"
+                f" {pos['open_px_a']:<8.2f}"
+                f" {pos['current_px_a']:<10.2f}"
+                f" {pos['current_value_a']:<12.2f}"
+                f" {'':<15}"
+            )
+
+            # Print position B
+            print(
+                f"{'':<15}"
+                f" {pos['symbol_b']:<10}"
+                f" {pos['side_b']:<4}"
+                f" {pos['shares_b']:<10.2f}"
+                f" {pos['open_px_b']:<8.2f}"
+                f" {pos['current_px_b']:<10.2f}"
+                f" {pos['current_value_b']:<12.2f}"
+            )
+
+            # Print pair totals with disequilibrium info
+            print(
+                f"{'':<15}"
+                f" {'PAIR TOTAL':<10}"
+                f" {'':<4}"
+                f" {'':<10}"
+                f" {'':<8}"
+                f" {'':<10}"
+                f" {pos['total_current_value']:<12.2f}"
+            )
+
+            # Print disequilibrium details
+            print(
+                f"{'':<15}"
+                f" {'DISEQUIL':<10}"
+                f" {'':<4}"
+                f" {'':<10}"
+                f" {'':<8}"
+                f" {'':<10}"
+                f" Raw: {pos['current_disequilibrium']:<6.4f}"
+                f" Scaled: {pos['current_scaled_disequilibrium']:<6.4f}"
+            )
+
+            print("-" * 100)
+
+            total_value += pos["total_current_value"]
+
+        print(f"{'TOTAL OUTSTANDING VALUE':<80} ${total_value:<12.2f}")
+
+    def print_grand_totals(self) -> None:
+        """Print grand totals across all pairs."""
+        print(f"\n====== GRAND TOTALS ACROSS ALL PAIRS ======")
+        print(f"Total Realized PnL: {self.get_total_realized_pnl():.2f}%")
+
+    def handle_outstanding_position(
+        self,
+        pair: TradingPair,
+        pair_result_df: pd.DataFrame,
+        last_row_index: int,
+        open_side_a: str,
+        open_side_b: str,
+        open_px_a: float,
+        open_px_b: float,
+        open_tstamp: datetime,
+    ) -> Tuple[float, float, float]:
+        """
+        Handle calculation and tracking of outstanding positions when no close signal is found.
+
+        Args:
+            pair: TradingPair object
+            pair_result_df: DataFrame with pair results
+            last_row_index: Index of the last row in the data
+            open_side_a, open_side_b: Trading sides for symbols A and B
+            open_px_a, open_px_b: Opening prices for symbols A and B
+            open_tstamp: Opening timestamp
+        """
+        if pair_result_df is None or pair_result_df.empty:
+            return 0, 0, 0
+
+        last_row = pair_result_df.loc[last_row_index]
+        last_tstamp = last_row["tstamp"]
+        colname_a, colname_b = pair.exec_prices_colnames()
+        last_px_a = last_row[colname_a]
+        last_px_b = last_row[colname_b]
+
+        # Calculate share quantities based on funding per pair
+        # Split funding equally between the two positions
+        funding_per_position = self.config["funding_per_pair"] / 2
+        shares_a = funding_per_position / open_px_a
+        shares_b = funding_per_position / open_px_b
+
+        # Calculate current position values (shares * current price)
+        current_value_a = shares_a * last_px_a * (-1 if open_side_a == "SELL" else 1)
+        current_value_b = shares_b * last_px_b * (-1 if open_side_b == "SELL" else 1)
+        total_current_value = current_value_a + current_value_b
+
+        # Get disequilibrium information
+        current_disequilibrium = last_row["disequilibrium"]
+        current_scaled_disequilibrium = last_row["scaled_disequilibrium"]
+
+        # Store outstanding positions
+        self.add_outstanding_position(
+            {
+                "pair": str(pair),
+                "symbol_a": pair.symbol_a_,
+                "symbol_b": pair.symbol_b_,
+                "side_a": open_side_a,
+                "side_b": open_side_b,
+                "shares_a": shares_a,
+                "shares_b": shares_b,
+                "open_px_a": open_px_a,
+                "open_px_b": open_px_b,
+                "current_px_a": last_px_a,
+                "current_px_b": last_px_b,
+                "current_value_a": current_value_a,
+                "current_value_b": current_value_b,
+                "total_current_value": total_current_value,
+                "open_time": open_tstamp,
+                "last_time": last_tstamp,
+                "current_abs_term": current_scaled_disequilibrium,
+                "current_disequilibrium": current_disequilibrium,
+                "current_scaled_disequilibrium": current_scaled_disequilibrium,
+            }
+        )
+
+        # Print position details
+        print(f"{pair}: NO CLOSE SIGNAL FOUND - Position held until end of session")
+        print(f"  Open: {open_tstamp} | Last: {last_tstamp}")
+        print(
+            f"  {pair.symbol_a_}: {open_side_a} {shares_a:.2f} shares @ ${open_px_a:.2f} -> ${last_px_a:.2f} | Value: ${current_value_a:.2f}"
+        )
+        print(
+            f"  {pair.symbol_b_}: {open_side_b} {shares_b:.2f} shares @ ${open_px_b:.2f} -> ${last_px_b:.2f} | Value: ${current_value_b:.2f}"
+        )
+        print(f"  Total Value: ${total_current_value:.2f}")
+        print(
+            f"  Disequilibrium: {current_disequilibrium:.4f} | Scaled: {current_scaled_disequilibrium:.4f}"
+        )
+
+        return current_value_a, current_value_b, total_current_value
+    
+    def store_results_in_database(
+        self, db_path: str, day: str
+    ) -> None:
+        """
+        Store backtest results in the SQLite database.
+        """
+        if db_path.upper() == "NONE":
+            return
+
+        try:
+            # Extract date from datafile name (assuming format like 20250528.mktdata.ohlcv.db)
+            date_str = day
+
+            # Convert to proper date format
+            try:
+                date_obj = datetime.strptime(date_str, "%Y%m%d").date()
+            except ValueError:
+                # If date parsing fails, use current date
+                date_obj = datetime.now().date()
+
+            conn = sqlite3.connect(db_path)
+            cursor = conn.cursor()
+
+            # Process each trade from bt_result
+            trades = self.get_trades()
+
+            for pair_name, _ in trades.items():
+
+                # Second pass: insert completed trade records into database
+                for trade_pair in sorted(self.pairs_trades_[pair_name], key=lambda x: x["open_time"]):
+                    # Only store completed trades in pt_bt_results table
+                    cursor.execute(
+                        """
+                        INSERT INTO pt_bt_results (
+                            date, pair, symbol, open_time, open_side, open_price, 
+                            open_quantity, open_disequilibrium, close_time, close_side, 
+                            close_price, close_quantity, close_disequilibrium, 
+                            symbol_return, pair_return, close_condition
+                        ) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
+                    """,
+                        (
+                            date_obj,
+                            pair_name,
+                            trade_pair["symbol"],
+                            trade_pair["open_time"],
+                            trade_pair["open_side"],
+                            trade_pair["open_price"],
+                            trade_pair["shares"],
+                            trade_pair["open_scaled_disequilibrium"],
+                            trade_pair["close_time"],
+                            trade_pair["close_side"],
+                            trade_pair["close_price"],
+                            trade_pair["shares"],
+                            trade_pair["close_scaled_disequilibrium"],
+                            trade_pair["symbol_return"],
+                            trade_pair["pair_return"],
+                            trade_pair["close_condition"]
+                        ),
+                    )
+
+            # Store outstanding positions in separate table
+            outstanding_positions = self.get_outstanding_positions()
+            for pos in outstanding_positions:
+                # Calculate position quantity (negative for SELL positions)
+                position_qty_a = (
+                    pos["shares_a"] if pos["side_a"] == "BUY" else -pos["shares_a"]
+                )
+                position_qty_b = (
+                    pos["shares_b"] if pos["side_b"] == "BUY" else -pos["shares_b"]
+                )
+
+                # Calculate unrealized returns
+                # For symbol A: (current_price - open_price) / open_price * 100 * position_direction
+                unrealized_return_a = (
+                    (pos["current_px_a"] - pos["open_px_a"]) / pos["open_px_a"] * 100
+                ) * (1 if pos["side_a"] == "BUY" else -1)
+                unrealized_return_b = (
+                    (pos["current_px_b"] - pos["open_px_b"]) / pos["open_px_b"] * 100
+                ) * (1 if pos["side_b"] == "BUY" else -1)
+
+                # Store outstanding position for symbol A
+                cursor.execute(
+                    """
+                    INSERT INTO outstanding_positions (
+                        date, pair, symbol, position_quantity, last_price, unrealized_return, open_price, open_side
+                    ) VALUES (?, ?, ?, ?, ?, ?, ?, ?)
+                """,
+                    (
+                        date_obj,
+                        pos["pair"],
+                        pos["symbol_a"],
+                        position_qty_a,
+                        pos["current_px_a"],
+                        unrealized_return_a,
+                        pos["open_px_a"],
+                        pos["side_a"],
+                    ),
+                )
+
+                # Store outstanding position for symbol B
+                cursor.execute(
+                    """
+                    INSERT INTO outstanding_positions (
+                        date, pair, symbol, position_quantity, last_price, unrealized_return, open_price, open_side
+                    ) VALUES (?, ?, ?, ?, ?, ?, ?, ?)
+                """,
+                    (
+                        date_obj,
+                        pos["pair"],
+                        pos["symbol_b"],
+                        position_qty_b,
+                        pos["current_px_b"],
+                        unrealized_return_b,
+                        pos["open_px_b"],
+                        pos["side_b"],
+                    ),
+                )
+
+            conn.commit()
+            conn.close()
+
+        except Exception as e:
+            print(f"Error storing results in database: {str(e)}")
+            import traceback
+
+            traceback.print_exc()
+

lib/pt_trading/rolling_window_fit.py

@@ -0,0 +1,317 @@
+from abc import ABC, abstractmethod
+from enum import Enum
+from typing import Any, Dict, Optional, cast
+
+import pandas as pd  # type: ignore[import]
+from pt_trading.fit_method import PairsTradingFitMethod
+from pt_trading.results import BacktestResult
+from pt_trading.trading_pair import PairState, TradingPair
+from statsmodels.tsa.vector_ar.vecm import VECM, VECMResults
+
+NanoPerMin = 1e9
+
+
+class RollingFit(PairsTradingFitMethod):
+    """
+    N O T E:
+    =========
+    - This class remains to be abstract
+    - The following methods are to be implemented in the subclass:
+        - create_trading_pair()
+    =========
+    """
+
+    def __init__(self) -> None:
+        super().__init__()
+
+    def run_pair(
+        self, pair: TradingPair, bt_result: BacktestResult
+    ) -> Optional[pd.DataFrame]:
+        print(f"***{pair}*** STARTING....")
+        config = pair.config_
+
+        curr_training_start_idx = pair.get_begin_index()
+        end_index = pair.get_end_index()
+
+        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]",
+                "symbol": "string",
+                "side": "string",
+                "action": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+        training_minutes = config["training_minutes"]
+        curr_predicted_row_idx = 0
+        while True:
+            print(curr_training_start_idx, end="\r")
+            pair.get_datasets(
+                training_minutes=training_minutes,
+                training_start_index=curr_training_start_idx,
+                testing_size=1,
+            )
+
+            if len(pair.training_df_) < training_minutes:
+                print(
+                    f"{pair}: current offset={curr_training_start_idx}"
+                    f" * Training data length={len(pair.training_df_)} < {training_minutes}"
+                    " * Not enough training data. Completing the job."
+                )
+                break
+
+            try:
+                # ================================ PREDICTION ================================
+                self.pair_predict_result_ = pair.predict()
+            except Exception as e:
+                raise RuntimeError(
+                    f"{pair}: TrainingPrediction failed: {str(e)}"
+                ) from e
+
+                # break
+
+            curr_training_start_idx += 1
+            if curr_training_start_idx > end_index:
+                break
+            curr_predicted_row_idx += 1
+
+        self._create_trading_signals(pair, config, bt_result)
+        print(f"***{pair}*** FINISHED *** Num Trades:{len(pair.user_data_['trades'])}")
+
+        return pair.get_trades()
+
+    def _create_trading_signals(
+        self, pair: TradingPair, config: Dict, bt_result: BacktestResult
+    ) -> None:
+
+        predicted_df = self.pair_predict_result_
+        assert 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(predicted_df)):
+            pred_row = predicted_df.iloc[curr_predicted_row_idx]
+            scaled_disequilibrium = pred_row["scaled_disequilibrium"]
+
+            if pair.user_data_["state"] in [
+                PairState.INITIAL,
+                PairState.CLOSE,
+                PairState.CLOSE_POSITION,
+                PairState.CLOSE_STOP_LOSS,
+                PairState.CLOSE_STOP_PROFIT,
+            ]:
+                if scaled_disequilibrium >= open_threshold:
+                    open_trades = self._get_open_trades(
+                        pair, row=pred_row, open_threshold=open_threshold
+                    )
+                    if open_trades is not None:
+                        open_trades["status"] = PairState.OPEN.name
+                        print(f"OPEN TRADES:\n{open_trades}")
+                        pair.add_trades(open_trades)
+                        pair.user_data_["state"] = PairState.OPEN
+                        pair.on_open_trades(open_trades)
+
+            elif pair.user_data_["state"] == PairState.OPEN:
+                if scaled_disequilibrium <= close_threshold:
+                    close_trades = self._get_close_trades(
+                        pair, row=pred_row, close_threshold=close_threshold
+                    )
+                    if close_trades is not None:
+                        close_trades["status"] = PairState.CLOSE.name
+                        print(f"CLOSE TRADES:\n{close_trades}")
+                        pair.add_trades(close_trades)
+                        pair.user_data_["state"] = PairState.CLOSE
+                        pair.on_close_trades(close_trades)
+                elif pair.to_stop_close_conditions(predicted_row=pred_row):
+                    close_trades = self._get_close_trades(
+                        pair, row=pred_row, close_threshold=close_threshold
+                    )
+                    if close_trades is not None:
+                        close_trades["status"] = pair.user_data_[
+                            "stop_close_state"
+                        ].name
+                        print(f"STOP CLOSE TRADES:\n{close_trades}")
+                        pair.add_trades(close_trades)
+                        pair.user_data_["state"] = pair.user_data_["stop_close_state"]
+                        pair.on_close_trades(close_trades)
+
+        # Outstanding positions
+        if pair.user_data_["state"] == PairState.OPEN:
+            print(f"{pair}:  *** Position is NOT CLOSED. ***")
+            # outstanding positions
+            if config["close_outstanding_positions"]:
+                close_position_row = pd.Series(pair.market_data_.iloc[-2])
+                close_position_row["disequilibrium"] = 0.0
+                close_position_row["scaled_disequilibrium"] = 0.0
+                close_position_row["signed_scaled_disequilibrium"] = 0.0
+                
+                close_position_trades = self._get_close_trades(
+                    pair=pair, row=close_position_row, close_threshold=close_threshold
+                )
+                if close_position_trades is not None:
+                    close_position_trades["status"] = PairState.CLOSE_POSITION.name
+                    print(f"CLOSE_POSITION TRADES:\n{close_position_trades}")
+                    pair.add_trades(close_position_trades)
+                    pair.user_data_["state"] = PairState.CLOSE_POSITION
+                    pair.on_close_trades(close_position_trades)
+            else:
+                if predicted_df is not None:
+                    bt_result.handle_outstanding_position(
+                        pair=pair,
+                        pair_result_df=predicted_df,
+                        last_row_index=0,
+                        open_side_a=pair.user_data_["open_side_a"],
+                        open_side_b=pair.user_data_["open_side_b"],
+                        open_px_a=pair.user_data_["open_px_a"],
+                        open_px_b=pair.user_data_["open_px_b"],
+                        open_tstamp=pair.user_data_["open_tstamp"],
+                    )
+
+    def _get_open_trades(
+        self, pair: TradingPair, row: pd.Series, open_threshold: float
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        open_row = row
+
+        open_tstamp = open_row["tstamp"]
+        open_disequilibrium = open_row["disequilibrium"]
+        open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
+        signed_scaled_disequilibrium = open_row["signed_scaled_disequilibrium"]
+        open_px_a = open_row[f"{colname_a}"]
+        open_px_b = open_row[f"{colname_b}"]
+
+        # creating the trades
+        # use outer single quotes so we can reference DataFrame keys with double quotes inside
+        print(f'OPEN_TRADES: {open_tstamp} open_scaled_disequilibrium={open_scaled_disequilibrium}')
+        if open_disequilibrium > 0:
+            open_side_a = "SELL"
+            open_side_b = "BUY"
+            close_side_a = "BUY"
+            close_side_b = "SELL"
+        else:
+            open_side_a = "BUY"
+            open_side_b = "SELL"
+            close_side_a = "SELL"
+            close_side_b = "BUY"
+
+        # save closing sides
+        pair.user_data_["open_side_a"] = open_side_a
+        pair.user_data_["open_side_b"] = open_side_b
+        pair.user_data_["open_px_a"] = open_px_a
+        pair.user_data_["open_px_b"] = open_px_b
+
+        pair.user_data_["open_tstamp"] = open_tstamp
+
+        pair.user_data_["close_side_a"] = close_side_a
+        pair.user_data_["close_side_b"] = close_side_b
+
+        # create opening trades
+        trd_signal_tuples = [
+            (
+                open_tstamp,
+                pair.symbol_a_,
+                open_side_a,
+                "OPEN",
+                open_px_a,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                open_tstamp,
+                pair.symbol_b_,
+                open_side_b,
+                "OPEN",
+                open_px_b,
+                open_disequilibrium,
+                open_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+        # Create DataFrame with explicit dtypes to avoid concatenation warnings
+        df = pd.DataFrame(trd_signal_tuples, columns=self.TRADES_COLUMNS)
+        # Ensure consistent dtypes
+        return df.astype(
+            {
+                "time": "datetime64[ns]",
+                "action": "string",
+                "symbol": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "signed_scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+    def _get_close_trades(
+        self, pair: TradingPair, row: pd.Series, close_threshold: float
+    ) -> Optional[pd.DataFrame]:
+        colname_a, colname_b = pair.exec_prices_colnames()
+
+        close_row = row
+        close_tstamp = close_row["tstamp"]
+        close_disequilibrium = close_row["disequilibrium"]
+        close_scaled_disequilibrium = close_row["scaled_disequilibrium"]
+        signed_scaled_disequilibrium = close_row["signed_scaled_disequilibrium"]
+        close_px_a = close_row[f"{colname_a}"]
+        close_px_b = close_row[f"{colname_b}"]
+
+        close_side_a = pair.user_data_["close_side_a"]
+        close_side_b = pair.user_data_["close_side_b"]
+
+        trd_signal_tuples = [
+            (
+                close_tstamp,
+                pair.symbol_a_,
+                close_side_a,
+                "CLOSE",
+                close_px_a,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+            (
+                close_tstamp,
+                pair.symbol_b_,
+                close_side_b,
+                "CLOSE",
+                close_px_b,
+                close_disequilibrium,
+                close_scaled_disequilibrium,
+                signed_scaled_disequilibrium,
+                pair,
+            ),
+        ]
+
+        # Add tuples to data frame with explicit dtypes to avoid concatenation warnings
+        df = pd.DataFrame(
+            trd_signal_tuples,
+            columns=self.TRADES_COLUMNS,
+        )
+        # Ensure consistent dtypes
+        return df.astype(
+            {
+                "time": "datetime64[ns]",
+                "action": "string",
+                "symbol": "string",
+                "price": "float64",
+                "disequilibrium": "float64",
+                "scaled_disequilibrium": "float64",
+                "signed_scaled_disequilibrium": "float64",
+                "pair": "object",
+            }
+        )
+
+    def reset(self) -> None:
+        curr_training_start_idx = 0

lib/pt_trading/trading_pair.py

@@ -0,0 +1,380 @@
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+from enum import Enum
+from typing import Any, Dict, List, Optional
+
+import pandas as pd  # type:ignore
+
+
+class PairState(Enum):
+    INITIAL = 1
+    OPEN = 2
+    CLOSE = 3
+    CLOSE_POSITION = 4
+    CLOSE_STOP_LOSS = 5
+    CLOSE_STOP_PROFIT = 6
+
+class CointegrationData:
+    EG_PVALUE_THRESHOLD = 0.05
+
+    tstamp_: pd.Timestamp
+    pair_: str
+    eg_pvalue_: float
+    johansen_lr1_: float
+    johansen_cvt_: float
+    eg_is_cointegrated_: bool
+    johansen_is_cointegrated_: bool
+
+    def __init__(self, pair: TradingPair):
+        training_df = pair.training_df_
+
+        assert training_df is not None
+        from statsmodels.tsa.vector_ar.vecm import coint_johansen
+
+        df = training_df[pair.colnames()].reset_index(drop=True)
+
+        # Run Johansen cointegration test
+        result = coint_johansen(df, det_order=0, k_ar_diff=1)
+        self.johansen_lr1_ = result.lr1[0]
+        self.johansen_cvt_ = result.cvt[0, 1]
+        self.johansen_is_cointegrated_ = self.johansen_lr1_ > self.johansen_cvt_
+
+        # Run Engle-Granger cointegration test
+        from statsmodels.tsa.stattools import coint  # type: ignore
+
+        col1, col2 = pair.colnames()
+        assert training_df is not None
+        series1 = training_df[col1].reset_index(drop=True)
+        series2 = training_df[col2].reset_index(drop=True)
+
+        self.eg_pvalue_ = float(coint(series1, series2)[1])
+        self.eg_is_cointegrated_ = bool(self.eg_pvalue_ < self.EG_PVALUE_THRESHOLD)
+
+        self.tstamp_ = training_df.index[-1]
+        self.pair_ = pair.name()
+
+    def to_dict(self) -> Dict[str, Any]:
+        return {
+            "tstamp": self.tstamp_,
+            "pair": self.pair_,
+            "eg_pvalue": self.eg_pvalue_,
+            "johansen_lr1": self.johansen_lr1_,
+            "johansen_cvt": self.johansen_cvt_,
+            "eg_is_cointegrated": self.eg_is_cointegrated_,
+            "johansen_is_cointegrated": self.johansen_is_cointegrated_,
+        }
+
+    def __repr__(self) -> str:
+        return f"CointegrationData(tstamp={self.tstamp_}, pair={self.pair_}, eg_pvalue={self.eg_pvalue_}, johansen_lr1={self.johansen_lr1_}, johansen_cvt={self.johansen_cvt_}, eg_is_cointegrated={self.eg_is_cointegrated_}, johansen_is_cointegrated={self.johansen_is_cointegrated_})"
+
+
+class TradingPair(ABC):
+    market_data_: pd.DataFrame
+    symbol_a_: str
+    symbol_b_: str
+    stat_model_price_: str
+
+    training_mu_: float
+    training_std_: float
+
+    training_df_: pd.DataFrame
+    testing_df_: pd.DataFrame
+
+    user_data_: Dict[str, Any]
+
+    # predicted_df_: Optional[pd.DataFrame]
+
+    def __init__(
+        self,
+        config: Dict[str, Any],
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+    ):
+        self.symbol_a_ = symbol_a
+        self.symbol_b_ = symbol_b
+        self.stat_model_price_ = config["stat_model_price"]
+        self.user_data_ = {}
+        self.predicted_df_ = None
+        self.config_ = config
+
+        self._set_market_data(market_data)
+
+    def _set_market_data(self, market_data: pd.DataFrame) -> None:
+        self.market_data_ = pd.DataFrame(
+            self._transform_dataframe(market_data)[["tstamp"] + self.colnames()]
+        )
+
+        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_ = self.market_data_.sort_values("tstamp")
+        self._set_execution_price_data()
+        pass
+        
+    def _set_execution_price_data(self) -> None:
+        if "execution_price" not in self.config_:
+            self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_a_}"]
+            self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_b_}"]
+            return
+        execution_price_column = self.config_["execution_price"]["column"]
+        execution_price_shift = self.config_["execution_price"]["shift"]
+        self.market_data_[f"exec_price_{self.symbol_a_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_a_}"].shift(-execution_price_shift)
+        self.market_data_[f"exec_price_{self.symbol_b_}"] = self.market_data_[f"{self.stat_model_price_}_{self.symbol_b_}"].shift(-execution_price_shift)
+        self.market_data_ = self.market_data_.dropna().reset_index(drop=True)
+
+        
+        
+
+    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()
+        )
+        mask = self.market_data_["tstamp"].dt.time >= start_time
+        return int(self.market_data_.index[mask].min())
+
+    def get_end_index(self) -> int:
+        if "trading_hours" not in self.config_:
+            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()
+        )
+        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:
+        # Select only the columns we need
+        df_selected: pd.DataFrame = pd.DataFrame(
+            df[["tstamp", "symbol", self.stat_model_price_]]
+        )
+
+        # Start with unique timestamps
+        result_df: pd.DataFrame = (
+            pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
+        )
+
+        # For each unique symbol, add a corresponding close price column
+
+        symbols = df_selected["symbol"].unique()
+        for symbol in symbols:
+            # Filter rows for this symbol
+            df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(
+                drop=True
+            )
+
+            # Create column name like "close-COIN"
+            new_price_column = f"{self.stat_model_price_}_{symbol}"
+
+            # Create temporary dataframe with timestamp and price
+            temp_df = pd.DataFrame(
+                {
+                    "tstamp": df_symbol["tstamp"],
+                    new_price_column: df_symbol[self.stat_model_price_],
+                }
+            )
+
+            # Join with our result dataframe
+            result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
+            result_df = result_df.reset_index(
+                drop=True
+            )  # do not dropna() since irrelevant symbol would affect dataset
+
+        return result_df.dropna()
+
+    def get_datasets(
+        self,
+        training_minutes: int,
+        training_start_index: int = 0,
+        testing_size: Optional[int] = None,
+    ) -> None:
+
+        testing_start_index = training_start_index + training_minutes
+        self.training_df_ = self.market_data_.iloc[
+            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)
+
+        testing_start_index = training_start_index + training_minutes
+        if testing_size is None:
+            self.testing_df_ = self.market_data_.iloc[testing_start_index:, :].copy()
+        else:
+            self.testing_df_ = self.market_data_.iloc[
+                testing_start_index : testing_start_index + testing_size, :
+            ].copy()
+        assert self.testing_df_ is not None
+        self.testing_df_ = self.testing_df_.dropna().reset_index(drop=True)
+
+    def colnames(self) -> List[str]:
+        return [
+            f"{self.stat_model_price_}_{self.symbol_a_}",
+            f"{self.stat_model_price_}_{self.symbol_b_}",
+        ]
+
+    def exec_prices_colnames(self) -> List[str]:
+        return [
+            f"exec_price_{self.symbol_a_}",
+            f"exec_price_{self.symbol_b_}",
+        ]
+
+    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()
+        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
+                )
+
+    def get_trades(self) -> 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....")
+        config = self.config_
+
+        curr_training_start_idx = 0
+
+        COINTEGRATION_DATA_COLUMNS = {
+            "tstamp": "datetime64[ns]",
+            "pair": "string",
+            "eg_pvalue": "float64",
+            "johansen_lr1": "float64",
+            "johansen_cvt": "float64",
+            "eg_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)
+
+        training_minutes = config["training_minutes"]
+        while True:
+            print(curr_training_start_idx, end="\r")
+            self.get_datasets(
+                training_minutes=training_minutes,
+                training_start_index=curr_training_start_idx,
+                testing_size=1,
+            )
+
+            if len(self.training_df_) < training_minutes:
+                print(
+                    f"{self}: current offset={curr_training_start_idx}"
+                    f" * Training data length={len(self.training_df_)} < {training_minutes}"
+                    " * Not enough training data. Completing the job."
+                )
+                break
+            new_row = pd.Series(CointegrationData(self).to_dict())
+            result.loc[len(result)] = new_row
+            curr_training_start_idx += 1
+        return result
+
+    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
+        ):
+            return False
+        if "profit" in config["stop_close_conditions"]:
+            current_return = self._current_return(predicted_row)
+            #
+            # print(f"time={predicted_row['tstamp']} current_return={current_return}")
+            #
+            if current_return >= config["stop_close_conditions"]["profit"]:
+                print(f"STOP PROFIT: {current_return}")
+                self.user_data_["stop_close_state"] = PairState.CLOSE_STOP_PROFIT
+                return True
+        if "loss" in config["stop_close_conditions"]:
+            if current_return <= config["stop_close_conditions"]["loss"]:
+                print(f"STOP LOSS: {current_return}")
+                self.user_data_["stop_close_state"] = PairState.CLOSE_STOP_LOSS
+                return True
+        return False
+
+    def on_open_trades(self, trades: pd.DataFrame) -> None:
+        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:
+        del self.user_data_["open_trades"]
+        self.user_data_["close_trades"] = trades
+
+    def _current_return(self, predicted_row: pd.Series) -> float:
+        if "open_trades" in self.user_data_:
+            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
+                instrument_price = predicted_row[f"{self.stat_model_price_}_{symbol}"]
+                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 0.0
+
+    def __repr__(self) -> str:
+        return self.name()
+
+    def name(self) -> str:
+        return f"{self.symbol_a_} & {self.symbol_b_}"
+        # return f"{self.symbol_a_} & {self.symbol_b_}"
+
+    @abstractmethod
+    def predict(self) -> pd.DataFrame: ...
+
+    # @abstractmethod
+    # def predicted_df(self) -> Optional[pd.DataFrame]: ...

lib/pt_trading/vecm_rolling_fit.py

@@ -0,0 +1,193 @@
+# original script moved to vecm_rolling_fit_01.py
+
+# 09.09.25  Added GARCH model - predicting volatility
+
+# Rule of thumb:
+# alpha + beta ≈ 1 → strong volatility clustering, persistence.
+# If much lower → volatility mean reverts quickly.
+# If > 1 → model is unstable / non-stationary (bad).
+
+# the VECM disequilibrium (mean reversion signal) and 
+# the GARCH volatility forecast (risk measure).
+# combine them → e.g., only enter trades when:
+
+# high_volatility = 1 → persistence > 0.95 or volatility > 2 (rule of thumb: unstable / risky regime).
+# high_volatility = 0 → stable regime.
+
+
+# VECM disequilibrium z-score > threshold and
+# GARCH-forecasted volatility is not too high (avoid noise-driven signals).
+# This creates a volatility-adjusted pairs trading strategy, more robust than plain VECM
+
+# now pair_predict_result_ DataFrame includes:
+# disequilibrium, scaled_disequilibrium, z-scores, garch_alpha, garch_beta, garch_persistence (α+β rule-of-thumb)
+# garch_vol_forecast (1-step volatility forecast)
+
+# Would you like me to also add a warning flag column 
+# (e.g., "high_volatility" = 1 if persistence > 0.95 or vol_forecast > threshold) 
+# so you can easily detect unstable regimes?
+
+# VECM/GARCH 
+# vecm_rolling_fit.py:
+from typing import Any, Dict, Optional, cast
+
+import numpy as np
+import pandas as pd
+from typing import Any, Dict, Optional
+from pt_trading.results import BacktestResult
+from pt_trading.rolling_window_fit import RollingFit
+from pt_trading.trading_pair import TradingPair
+from statsmodels.tsa.vector_ar.vecm import VECM, VECMResults
+from arch import arch_model
+
+NanoPerMin = 1e9
+
+class VECMTradingPair(TradingPair):
+    vecm_fit_: Optional[VECMResults]
+    pair_predict_result_: Optional[pd.DataFrame]
+
+    def __init__(
+        self,
+        config: Dict[str, Any],
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+    ):
+        super().__init__(config, market_data, symbol_a, symbol_b)
+        self.vecm_fit_ = None
+        self.pair_predict_result_ = None
+        self.garch_fit_ = None
+        self.sigma_spread_forecast_ = None
+        self.garch_alpha_ = None
+        self.garch_beta_ = None
+        self.garch_persistence_ = None
+        self.high_volatility_flag_ = None
+
+    def _train_pair(self) -> None:
+        self._fit_VECM()
+        assert self.vecm_fit_ is not None
+
+        diseq_series = self.training_df_[self.colnames()] @ self.vecm_fit_.beta
+        self.training_mu_ = float(diseq_series[0].mean())
+        self.training_std_ = float(diseq_series[0].std())
+
+        self.training_df_["disequilibrium"] = diseq_series
+        self.training_df_["scaled_disequilibrium"] = (
+            diseq_series - self.training_mu_
+        ) / self.training_std_
+
+    def _fit_VECM(self) -> None:
+        assert self.training_df_ is not None
+        vecm_df = self.training_df_[self.colnames()].reset_index(drop=True)
+        vecm_model = VECM(vecm_df, coint_rank=1)
+        vecm_fit = vecm_model.fit()
+        self.vecm_fit_ = vecm_fit
+
+        # Error Correction Term (spread)
+        ect_series = (vecm_df @ vecm_fit.beta).iloc[:, 0]
+
+        # Difference the spread for stationarity
+        dz = ect_series.diff().dropna()
+
+        if len(dz) < 30:
+            print("Not enough data for GARCH fitting.")
+            return
+
+        # Rescale if variance too small
+        if dz.std() < 0.1:
+            dz = dz * 1000
+        # print("Scale check:", dz.std())
+
+        try:
+            garch = arch_model(dz, vol="GARCH", p=1, q=1, mean="Zero", dist="normal")
+            garch_fit = garch.fit(disp="off")
+            self.garch_fit_ = garch_fit
+
+            # Extract parameters
+            params = garch_fit.params
+            self.garch_alpha_ = params.get("alpha[1]", np.nan)
+            self.garch_beta_ = params.get("beta[1]", np.nan)
+            self.garch_persistence_ = self.garch_alpha_ + self.garch_beta_
+
+            # print (f"GARCH α: {self.garch_alpha_:.4f}, β: {self.garch_beta_:.4f}, "
+            #       f"α+β (persistence): {self.garch_persistence_:.4f}")
+
+            # One-step-ahead volatility forecast
+            forecast = garch_fit.forecast(horizon=1)
+            sigma_next = np.sqrt(forecast.variance.iloc[-1, 0])
+            self.sigma_spread_forecast_ = float(sigma_next)
+            # print("GARCH sigma forecast:", self.sigma_spread_forecast_)
+
+            # Rule of thumb: persistence close to 1 or large volatility forecast
+            self.high_volatility_flag_ = int(
+                (self.garch_persistence_ is not None and self.garch_persistence_ > 0.95)
+                or (self.sigma_spread_forecast_ is not None and self.sigma_spread_forecast_ > 2)
+            )
+
+        except Exception as e:
+            print(f"GARCH fit failed: {e}")
+            self.garch_fit_ = None
+            self.sigma_spread_forecast_ = None
+            self.high_volatility_flag_ = None
+
+    def predict(self) -> pd.DataFrame:
+        self._train_pair()
+        assert self.testing_df_ is not None
+        assert self.vecm_fit_ is not None
+
+        # VECM predictions
+        predicted_prices = self.vecm_fit_.predict(steps=len(self.testing_df_))
+        predicted_df = pd.merge(
+            self.testing_df_.reset_index(drop=True),
+            pd.DataFrame(predicted_prices, columns=pd.Index(self.colnames()), dtype=float),
+            left_index=True,
+            right_index=True,
+            suffixes=("", "_pred"),
+        ).dropna()
+
+        # Disequilibrium and z-scores
+        predicted_df["disequilibrium"] = (
+            predicted_df[self.colnames()] @ self.vecm_fit_.beta
+        )
+        predicted_df["signed_scaled_disequilibrium"] = (
+            predicted_df["disequilibrium"] - self.training_mu_
+        ) / self.training_std_
+        predicted_df["scaled_disequilibrium"] = abs(
+            predicted_df["signed_scaled_disequilibrium"]
+        )
+
+        # Add GARCH parameters + volatility forecast
+        predicted_df["garch_alpha"] = self.garch_alpha_
+        predicted_df["garch_beta"] = self.garch_beta_
+        predicted_df["garch_persistence"] = self.garch_persistence_
+        predicted_df["garch_vol_forecast"] = self.sigma_spread_forecast_
+        predicted_df["high_volatility"] = self.high_volatility_flag_
+
+        # Save results
+        if self.pair_predict_result_ is None:
+            self.pair_predict_result_ = predicted_df
+        else:
+            self.pair_predict_result_ = pd.concat(
+                [self.pair_predict_result_, predicted_df], ignore_index=True
+            )
+
+        return self.pair_predict_result_
+
+
+class VECMRollingFit(RollingFit):
+    def __init__(self) -> None:
+        super().__init__()
+
+    def create_trading_pair(
+        self,
+        config: Dict,
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+    ) -> TradingPair:
+        return VECMTradingPair(
+            config=config,
+            market_data=market_data,
+            symbol_a = symbol_a,
+            symbol_b = symbol_b,
+        )

lib/pt_trading/z-score_rolling_fit.py

@@ -0,0 +1,124 @@
+from typing import Any, Dict, Optional
+
+import pandas as pd
+import statsmodels.api as sm
+
+from pt_trading.rolling_window_fit import RollingFit
+from pt_trading.trading_pair import TradingPair
+
+NanoPerMin = 1e9
+
+
+class ZScoreTradingPair(TradingPair):
+    """TradingPair implementation that fits a hedge ratio with OLS and
+    computes a standardized spread (z-score).
+
+    The class stores training spread mean/std and hedge ratio so the model
+    can be applied to testing data consistently.
+    """
+
+    zscore_model_: Optional[sm.regression.linear_model.RegressionResultsWrapper]
+    pair_predict_result_: Optional[pd.DataFrame]
+    zscore_df_: Optional[pd.Series]
+    hedge_ratio_: Optional[float]
+    spread_mean_: Optional[float]
+    spread_std_: Optional[float]
+
+    def __init__(
+        self,
+        config: Dict[str, Any],
+        market_data: pd.DataFrame,
+        symbol_a: str,
+        symbol_b: str,
+    ):
+        super().__init__(config, market_data, symbol_a, symbol_b)
+        self.zscore_model_ = None
+        self.pair_predict_result_ = None
+        self.zscore_df_ = None
+        self.hedge_ratio_ = None
+        self.spread_mean_ = None
+        self.spread_std_ = None
+
+    def _fit_zscore(self) -> None:
+        """Fit OLS on the training window and compute training z-score."""
+        assert self.training_df_ is not None
+
+        # Extract price series for the two symbols from the training frame.
+        px_df = self.training_df_[self.colnames()]
+        symbol_a_px = px_df.iloc[:, 0]
+        symbol_b_px = px_df.iloc[:, 1]
+
+        # Align indexes and fit OLS: symbol_a ~ const + symbol_b
+        symbol_a_px, symbol_b_px = symbol_a_px.align(symbol_b_px, join="inner")
+        X = sm.add_constant(symbol_b_px)
+        self.zscore_model_ = sm.OLS(symbol_a_px, X).fit()
+
+        # Hedge ratio is the slope on symbol_b
+        params = self.zscore_model_.params
+        self.hedge_ratio_ = float(params.iloc[1]) if len(params) > 1 else 0.0
+
+        # Training spread and its standardized z-score
+        spread = symbol_a_px - self.hedge_ratio_ * symbol_b_px
+        self.spread_mean_ = float(spread.mean())
+        self.spread_std_ = float(spread.std(ddof=0)) if spread.std(ddof=0) != 0 else 1.0
+        self.zscore_df_ = (spread - self.spread_mean_) / self.spread_std_
+
+    def predict(self) -> pd.DataFrame:
+        """Apply fitted hedge ratio to the testing frame and return a
+        dataframe with canonical columns:
+          - disequilibrium: signed z-score
+          - scaled_disequilibrium: absolute z-score
+          - signed_scaled_disequilibrium: same as disequilibrium (keeps sign)
+        """
+        # Fit on training window
+        self._fit_zscore()
+        assert self.zscore_df_ is not None
+        assert self.hedge_ratio_ is not None
+        assert self.spread_mean_ is not None and self.spread_std_ is not None
+
+        # Keep training columns for inspection
+        self.training_df_["disequilibrium"] = self.zscore_df_
+        self.training_df_["scaled_disequilibrium"] = self.zscore_df_.abs()
+
+        # Apply model to testing frame
+        assert self.testing_df_ is not None
+        test_df = self.testing_df_.copy()
+        px_test = test_df[self.colnames()]
+        a_test = px_test.iloc[:, 0]
+        b_test = px_test.iloc[:, 1]
+        a_test, b_test = a_test.align(b_test, join="inner")
+
+        # Compute test spread and standardize using training mean/std
+        test_spread = a_test - self.hedge_ratio_ * b_test
+        test_zscore = (test_spread - self.spread_mean_) / self.spread_std_
+
+        # Attach canonical columns
+        # Align back to test_df index if needed
+        test_zscore = test_zscore.reindex(test_df.index)
+        test_df["disequilibrium"] = test_zscore
+        test_df["signed_scaled_disequilibrium"] = test_zscore
+        test_df["scaled_disequilibrium"] = test_zscore.abs()
+
+        # Reset index and accumulate results across windows
+        test_df = test_df.reset_index(drop=True)
+        if self.pair_predict_result_ is None:
+            self.pair_predict_result_ = test_df
+        else:
+            self.pair_predict_result_ = pd.concat(
+                [self.pair_predict_result_, test_df], ignore_index=True
+            )
+
+        self.pair_predict_result_ = self.pair_predict_result_.reset_index(drop=True)
+        return self.pair_predict_result_.dropna()
+
+
+class ZScoreRollingFit(RollingFit):
+    def __init__(self) -> None:
+        super().__init__()
+
+    def create_trading_pair(
+        self, config: Dict, market_data: pd.DataFrame, symbol_a: str, symbol_b: str
+    ) -> TradingPair:
+        return ZScoreTradingPair(
+            config=config, market_data=market_data, symbol_a=symbol_a, symbol_b=symbol_b
+        )

lib/tools/config.py

@@ -0,0 +1,17 @@
+import hjson
+from typing import Dict
+from datetime import datetime
+
+
+def load_config(config_path: str) -> Dict:
+    with open(config_path, "r") as f:
+        config = hjson.load(f)
+    return dict(config)
+
+
+def expand_filename(filename: str) -> str:
+    # expand %T
+    res = filename.replace("%T", datetime.now().strftime("%Y%m%d_%H%M%S"))
+    # expand %D
+    return res.replace("%D", datetime.now().strftime("%Y%m%d"))
+

lib/tools/data_loader.py

@@ -0,0 +1,151 @@
+from __future__ import annotations
+
+import sqlite3
+from typing import Dict, List, cast
+import pandas as pd
+
+
+def load_sqlite_to_dataframe(db_path:str, query:str) -> pd.DataFrame:
+    df: pd.DataFrame = pd.DataFrame()
+    import os
+    if not os.path.exists(db_path):
+        print(f"WARNING: database file {db_path} does not exist")
+        return df
+
+    try:
+        conn = sqlite3.connect(db_path)
+
+        df = pd.read_sql_query(query, conn)
+        return df
+    except sqlite3.Error as excpt:
+        print(f"SQLite error: {excpt}")
+        raise
+    except Exception as excpt:
+        print(f"Error: {excpt}")
+        raise Exception() from excpt
+    finally:
+        if "conn" in locals():
+            conn.close()
+
+
+def convert_time_to_UTC(value: str, timezone: str, extra_minutes: int = 0) -> str:
+
+    from zoneinfo import ZoneInfo
+    from datetime import datetime, timedelta
+
+    # Parse it to naive datetime object
+    local_dt = datetime.strptime(value, "%Y-%m-%d %H:%M:%S")
+    local_dt = local_dt + timedelta(minutes=extra_minutes)
+
+    zinfo = ZoneInfo(timezone)
+    result: datetime = local_dt.replace(tzinfo=zinfo).astimezone(ZoneInfo("UTC"))
+
+    return result.strftime("%Y-%m-%d %H:%M:%S")
+
+
+def load_market_data(
+    datafile: str,
+    instruments: List[Dict[str, str]],
+    db_table_name: str,
+    trading_hours: Dict = {},
+    extra_minutes: int = 0,
+) -> pd.DataFrame:
+
+    insts = [
+        '"' + instrument["instrument_id_pfx"] + instrument["symbol"] + '"'
+        for instrument in instruments
+    ]
+    instrument_ids = list(set(insts))
+    exchange_ids = list(
+        set(['"' + instrument["exchange_id"] + '"' for instrument in instruments])
+    )
+
+    query = "select"
+    query += " tstamp"
+    query += ", tstamp_ns as time_ns"
+
+    query += f", substr(instrument_id, instr(instrument_id, '-') + 1) as symbol"
+    query += ", open"
+    query += ", high"
+    query += ", low"
+    query += ", close"
+    query += ", volume"
+    query += ", num_trades"
+    query += ", vwap"
+
+    query += f" from {db_table_name}"
+    query += f" where exchange_id in ({','.join(exchange_ids)})"
+    query += f" and instrument_id in ({','.join(instrument_ids)})"
+
+    df = load_sqlite_to_dataframe(db_path=datafile, query=query)
+
+    # Trading Hours
+    if len(df) > 0 and len(trading_hours) > 0:
+        date_str = df["tstamp"][0][0:10]
+
+        start_time = convert_time_to_UTC(
+            f"{date_str} {trading_hours['begin_session']}", trading_hours["timezone"]
+        )
+        end_time = convert_time_to_UTC(
+            f"{date_str} {trading_hours['end_session']}", trading_hours["timezone"], extra_minutes=extra_minutes # to get execution price
+        )
+
+        # Perform boolean selection
+        df = df[(df["tstamp"] >= start_time) & (df["tstamp"] <= end_time)]
+        df["tstamp"] = pd.to_datetime(df["tstamp"])
+
+    return cast(pd.DataFrame, df)
+
+
+# def get_available_instruments_from_db(datafile: str, config: Dict) -> List[str]:
+#     """
+#     Auto-detect available instruments from the database by querying distinct instrument_id values.
+#     Returns instruments without the configured prefix.
+#     """
+#     try:
+#         conn = sqlite3.connect(datafile)
+
+#         # Build exclusion list with full instrument_ids
+#         exclude_instruments = config.get("exclude_instruments", [])
+#         prefix = config.get("instrument_id_pfx", "")
+#         exclude_instrument_ids = [f"{prefix}{inst}" for inst in exclude_instruments]
+
+#         # Query to get distinct instrument_ids
+#         query = f"""
+#         SELECT DISTINCT instrument_id
+#         FROM {config['db_table_name']}
+#         WHERE exchange_id = ?
+#         """
+
+#         # Add exclusion clause if there are instruments to exclude
+#         if exclude_instrument_ids:
+#             placeholders = ",".join(["?" for _ in exclude_instrument_ids])
+#             query += f" AND instrument_id NOT IN ({placeholders})"
+#             cursor = conn.execute(
+#                 query, (config["exchange_id"],) + tuple(exclude_instrument_ids)
+#             )
+#         else:
+#             cursor = conn.execute(query, (config["exchange_id"],))
+#         instrument_ids = [row[0] for row in cursor.fetchall()]
+#         conn.close()
+
+#         # Remove the configured prefix to get instrument symbols
+#         instruments = []
+#         for instrument_id in instrument_ids:
+#             if instrument_id.startswith(prefix):
+#                 symbol = instrument_id[len(prefix) :]
+#                 instruments.append(symbol)
+#             else:
+#                 instruments.append(instrument_id)
+
+#         return sorted(instruments)
+
+#     except Exception as e:
+#         print(f"Error auto-detecting instruments from {datafile}: {str(e)}")
+#         return []
+
+
+# if __name__ == "__main__":
+#     df1 = load_sqlite_to_dataframe(sys.argv[1], table_name="md_1min_bars")
+
+#     print(df1)

lib/utils/db_inspector.py

@@ -0,0 +1,169 @@
+#!/usr/bin/env python3
+"""
+Database inspector utility for pairs trading results database.
+Provides functionality to view all tables and their contents.
+"""
+
+import sqlite3
+import sys
+import json
+import os
+from typing import List, Dict, Any
+
+def list_tables(db_path: str) -> List[str]:
+    """List all tables in the database."""
+    conn = sqlite3.connect(db_path)
+    cursor = conn.cursor()
+    
+    cursor.execute("""
+        SELECT name FROM sqlite_master 
+        WHERE type='table' 
+        ORDER BY name
+    """)
+    
+    tables = [row[0] for row in cursor.fetchall()]
+    conn.close()
+    return tables
+
+def view_table_schema(db_path: str, table_name: str) -> None:
+    """View the schema of a specific table."""
+    conn = sqlite3.connect(db_path)
+    cursor = conn.cursor()
+    
+    cursor.execute(f"PRAGMA table_info({table_name})")
+    columns = cursor.fetchall()
+    
+    print(f"\nTable: {table_name}")
+    print("-" * 50)
+    print("Column Name".ljust(20) + "Type".ljust(15) + "Not Null".ljust(10) + "Default")
+    print("-" * 50)
+    
+    for col in columns:
+        cid, name, type_, not_null, default_value, pk = col
+        print(f"{name}".ljust(20) + f"{type_}".ljust(15) + f"{bool(not_null)}".ljust(10) + f"{default_value or ''}")
+    
+    conn.close()
+
+def view_config_table(db_path: str, limit: int = 10) -> None:
+    """View entries from the config table."""
+    conn = sqlite3.connect(db_path)
+    cursor = conn.cursor()
+    
+    cursor.execute(f"""
+        SELECT id, run_timestamp, config_file_path, fit_method_class, 
+               datafiles, instruments, config_json
+        FROM config 
+        ORDER BY run_timestamp DESC
+        LIMIT {limit}
+    """)
+    
+    rows = cursor.fetchall()
+    
+    if not rows:
+        print("No configuration entries found.")
+        return
+    
+    print(f"\nMost recent {len(rows)} configuration entries:")
+    print("=" * 80)
+    
+    for row in rows:
+        id, run_timestamp, config_file_path, fit_method_class, datafiles, instruments, config_json = row
+        
+        print(f"ID: {id} | {run_timestamp}")
+        print(f"Config: {config_file_path} | Strategy: {fit_method_class}")
+        print(f"Files: {datafiles}")
+        print(f"Instruments: {instruments}")
+        print("-" * 80)
+    
+    conn.close()
+
+def view_results_summary(db_path: str) -> None:
+    """View summary of trading results."""
+    conn = sqlite3.connect(db_path)
+    cursor = conn.cursor()
+    
+    # Get results summary
+    cursor.execute("""
+        SELECT date, COUNT(*) as trade_count, 
+               ROUND(SUM(symbol_return), 2) as total_return
+        FROM pt_bt_results 
+        GROUP BY date 
+        ORDER BY date DESC
+    """)
+    
+    results = cursor.fetchall()
+    
+    if not results:
+        print("No trading results found.")
+        return
+    
+    print(f"\nTrading Results Summary:")
+    print("-" * 50)
+    print("Date".ljust(15) + "Trades".ljust(10) + "Total Return %")
+    print("-" * 50)
+    
+    for date, trade_count, total_return in results:
+        print(f"{date}".ljust(15) + f"{trade_count}".ljust(10) + f"{total_return}")
+    
+    # Get outstanding positions summary
+    cursor.execute("""
+        SELECT COUNT(*) as position_count,
+               ROUND(SUM(unrealized_return), 2) as total_unrealized
+        FROM outstanding_positions
+    """)
+    
+    outstanding = cursor.fetchone()
+    if outstanding and outstanding[0] > 0:
+        print(f"\nOutstanding Positions: {outstanding[0]} positions")
+        print(f"Total Unrealized Return: {outstanding[1]}%")
+    
+    conn.close()
+
+def main() -> None:
+    if len(sys.argv) < 2:
+        print("Usage: python db_inspector.py <database_path> [command]")
+        print("Commands:")
+        print("  tables     - List all tables")
+        print("  schema     - Show schema for all tables")
+        print("  config     - View configuration entries")
+        print("  results    - View trading results summary")
+        print("  all        - Show everything (default)")
+        print("\nExample: python db_inspector.py results/equity.db config")
+        sys.exit(1)
+    
+    db_path = sys.argv[1]
+    command = sys.argv[2] if len(sys.argv) > 2 else "all"
+    
+    if not os.path.exists(db_path):
+        print(f"Database file not found: {db_path}")
+        sys.exit(1)
+    
+    try:
+        if command in ["tables", "all"]:
+            tables = list_tables(db_path)
+            print(f"Tables in database: {', '.join(tables)}")
+        
+        if command in ["schema", "all"]:
+            tables = list_tables(db_path)
+            for table in tables:
+                view_table_schema(db_path, table)
+        
+        if command in ["config", "all"]:
+            if "config" in list_tables(db_path):
+                view_config_table(db_path)
+            else:
+                print("Config table not found.")
+        
+        if command in ["results", "all"]:
+            if "pt_bt_results" in list_tables(db_path):
+                view_results_summary(db_path)
+            else:
+                print("Results table not found.")
+                
+    except Exception as e:
+        print(f"Error inspecting database: {str(e)}")
+        import traceback
+        traceback.print_exc()
+
+if __name__ == "__main__":
+    main() 

pyproject.toml

@@ -0,0 +1,66 @@
+[build-system]
+requires = ["setuptools>=45", "wheel"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "pairs-trading"
+version = "0.1.0"
+description = "Pairs Trading Backtesting Framework"
+requires-python = ">=3.8"
+
+[tool.black]
+line-length = 88
+target-version = ['py38']
+include = '\.pyi?$'
+extend-exclude = '''
+/(
+  # directories
+  \.eggs
+  | \.git
+  | \.hg
+  | \.mypy_cache
+  | \.tox
+  | \.venv
+  | build
+  | dist
+)/
+'''
+
+[tool.flake8]
+max-line-length = 88
+extend-ignore = ["E203", "W503"]
+exclude = [
+    ".git",
+    "__pycache__",
+    "build",
+    "dist",
+    ".venv",
+    ".mypy_cache",
+    ".tox"
+]
+
+[tool.mypy]
+python_version = "3.8"
+warn_return_any = true
+warn_unused_configs = true
+disallow_untyped_defs = true
+disallow_incomplete_defs = true
+check_untyped_defs = true
+disallow_untyped_decorators = true
+no_implicit_optional = true
+warn_redundant_casts = true
+warn_unused_ignores = true
+warn_no_return = true
+warn_unreachable = true
+strict_equality = true
+
+[[tool.mypy.overrides]]
+module = [
+    "numpy.*",
+    "pandas.*",
+    "matplotlib.*",
+    "seaborn.*",
+    "scipy.*",
+    "sklearn.*"
+]
+ignore_missing_imports = true 

pyrightconfig.json

@@ -0,0 +1,24 @@
+{
+    "include": [
+        "lib"
+    ],
+    "exclude": [
+        "**/node_modules",
+        "**/__pycache__",
+        "**/.*",
+        "results",
+        "data"
+    ],
+    "ignore": [],
+    "defineConstant": {},
+    "typeCheckingMode": "basic",
+    "useLibraryCodeForTypes": true,
+    "autoImportCompletions": true,
+    "autoSearchPaths": true,
+    "extraPaths": [
+        "lib"
+    ],
+    "stubPath": "./typings",
+    "venvPath": ".",
+    "venv": "python3.12-venv"
+}

requirements.txt

@@ -0,0 +1,199 @@
+aiohttp>=3.8.4
+aiosignal>=1.3.1
+async-timeout>=4.0.2
+attrs>=21.2.0
+beautifulsoup4>=4.10.0
+black>=23.3.0
+flake8>=6.0.0
+certifi>=2020.6.20
+chardet>=4.0.0
+charset-normalizer>=3.1.0
+click>=8.0.3
+colorama>=0.4.4
+configobj>=5.0.6
+cryptography>=3.4.8
+distro>=1.7.0
+docker>=5.0.3
+dockerpty>=0.4.1
+docopt>=0.6.2
+eyeD3>=0.8.10
+filelock>=3.6.0
+frozenlist>=1.3.3
+grpcio>=1.30.2
+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
+lazr.uri>=1.0.6
+lxml>=4.8.0
+Mako>=1.1.3
+Markdown>=3.3.6
+MarkupSafe>=2.0.1
+matplotlib>=3.10.3
+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
+pycurl>=7.44.1
+# pyelftools>=0.27
+Pygments>=2.11.2
+pyparsing>=2.4.7
+pyrsistent>=0.18.1
+python-debian>=0.1.43 #+ubuntu1.1
+python-dotenv>=0.19.2
+python-magic>=0.4.24
+python-xlib>=0.29
+# pyxdg>=0.27
+PyYAML>=6.0
+reportlab>=3.6.8
+requests>=2.25.1
+requests-file>=1.5.1
+scipy<1.13.0
+seaborn>=0.13.2
+SecretStorage>=3.3.1
+setproctitle>=1.2.2
+six>=1.16.0
+soupsieve>=2.3.1
+ssh-import-id>=5.11
+statsmodels>=0.14.4
+# texttable>=1.6.4
+tldextract>=3.1.2
+tomli>=1.2.2
+######## typed-ast>=1.4.3
+# types-aiofiles>=0.1
+# types-annoy>=1.17
+# types-appdirs>=1.4
+# types-atomicwrites>=1.4
+# types-aws-xray-sdk>=2.8
+# types-babel>=2.9
+# types-backports-abc>=0.5
+# types-backports.ssl-match-hostname>=3.7
+# types-beautifulsoup4>=4.10
+# types-bleach>=4.1
+# types-boto>=2.49
+# types-braintree>=4.11
+# types-cachetools>=4.2
+# types-caldav>=0.8
+# types-certifi>=2020.4
+# types-characteristic>=14.3
+# types-chardet>=4.0
+# types-click>=7.1
+# types-click-spinner>=0.1
+# types-colorama>=0.4
+# types-commonmark>=0.9
+# types-contextvars>=0.1
+# types-croniter>=1.0
+# types-cryptography>=3.3
+# types-dataclasses>=0.1
+# types-dateparser>=1.0
+# types-DateTimeRange>=0.1
+# types-decorator>=0.1
+# types-Deprecated>=1.2
+# types-docopt>=0.6
+# types-docutils>=0.17
+# types-editdistance>=0.5
+# types-emoji>=1.2
+# types-entrypoints>=0.3
+# types-enum34>=1.1
+# types-filelock>=3.2
+# types-first>=2.0
+# types-Flask>=1.1
+# types-freezegun>=1.1
+# types-frozendict>=0.1
+# types-futures>=3.3
+# types-html5lib>=1.1
+# types-httplib2>=0.19
+# types-humanfriendly>=9.2
+# types-ipaddress>=1.0
+# types-itsdangerous>=1.1
+# types-JACK-Client>=0.1
+# types-Jinja2>=2.11
+# types-jmespath>=0.10
+# types-jsonschema>=3.2
+# types-Markdown>=3.3
+# types-MarkupSafe>=1.1
+# types-mock>=4.0
+# types-mypy-extensions>=0.4
+# types-mysqlclient>=2.0
+# types-oauthlib>=3.1
+# types-orjson>=3.6
+# types-paramiko>=2.7
+# types-Pillow>=8.3
+# types-polib>=1.1
+# types-prettytable>=2.1
+# types-protobuf>=3.17
+# types-psutil>=5.8
+# types-psycopg2>=2.9
+# types-pyaudio>=0.2
+# types-pycurl>=0.1
+# types-pyfarmhash>=0.2
+# types-Pygments>=2.9
+# types-PyMySQL>=1.0
+# types-pyOpenSSL>=20.0
+# types-pyRFC3339>=0.1
+# types-pysftp>=0.2
+# types-pytest-lazy-fixture>=0.6
+# types-python-dateutil>=2.8
+# types-python-gflags>=3.1
+# types-python-nmap>=0.6
+# types-python-slugify>=5.0
+# types-pytz>=2021.1
+# types-pyvmomi>=7.0
+# types-PyYAML>=5.4
+# types-redis>=3.5
+# types-requests>=2.25
+# types-retry>=0.9
+# types-selenium>=3.141
+# types-Send2Trash>=1.8
+# types-setuptools>=57.4
+# types-simplejson>=3.17
+# types-singledispatch>=3.7
+# types-six>=1.16
+# types-slumber>=0.7
+# types-stripe>=2.59
+# types-tabulate>=0.8
+# types-termcolor>=1.1
+# types-toml>=0.10
+# types-toposort>=1.6
+# types-ttkthemes>=3.2
+# types-typed-ast>=1.4
+# types-tzlocal>=0.1
+# types-ujson>=0.1
+# types-vobject>=0.9
+# types-waitress>=0.1
+#types-Werkzeug>=1.0
+#types-xxhash>=2.0
+typing-extensions>=3.10.0.2
+Unidecode>=1.3.3
+urllib3>=1.26.5
+wadllib>=1.3.6
+webencodings>=0.5.1
+websocket-client>=1.2.3
+yarl>=1.9.1
+zipp>=1.0.0

research/cointegration_test.py

@@ -0,0 +1,127 @@
+import argparse
+import glob
+import importlib
+import os
+from datetime import date, datetime
+from typing import Any, Dict, List, Optional
+
+import pandas as pd
+
+from tools.config import expand_filename, load_config
+from tools.data_loader import get_available_instruments_from_db
+
+from pt_trading.results import (
+    BacktestResult,
+    create_result_database,
+    store_config_in_database,
+    store_results_in_database,
+)
+
+from pt_trading.fit_method import PairsTradingFitMethod
+from pt_trading.trading_pair import TradingPair
+
+from research.research_tools import create_pairs, resolve_datafiles
+
+def main() -> None:
+    parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
+    parser.add_argument(
+        "--config", type=str, required=True, help="Path to the configuration file."
+    )
+    parser.add_argument(
+        "--datafile",
+        type=str,
+        required=False,
+        help="Market data file to process.",
+    )
+    parser.add_argument(
+        "--instruments",
+        type=str,
+        required=False,
+        help = "Comma-separated list of instrument symbols (e.g., COIN,GBTC). If not provided, auto-detects from database.",
+    )
+    args = parser.parse_args()
+
+    config: Dict = load_config(args.config)
+
+    # Resolve data files (CLI takes priority over config)
+    datafile = resolve_datafiles(config, args.datafile)[0]
+
+    if not datafile:
+        print("No data files found to process.")
+        return
+
+    print(f"Found {datafile} data files to process:")
+
+    # # Create result database if needed
+    # if args.result_db.upper() != "NONE":
+    #     args.result_db = expand_filename(args.result_db)
+    #     create_result_database(args.result_db)
+
+    # # Initialize a dictionary to store all trade results
+    # all_results: Dict[str, Dict[str, Any]] = {}
+
+    # # Store configuration in database for reference
+    # if args.result_db.upper() != "NONE":
+    #     # Get list of all instruments for storage
+    #     all_instruments = []
+    #     for datafile in datafiles:
+    #         if args.instruments:
+    #             file_instruments = [
+    #                 inst.strip() for inst in args.instruments.split(",")
+    #             ]
+    #         else:
+    #             file_instruments = get_available_instruments_from_db(datafile, config)
+    #         all_instruments.extend(file_instruments)
+
+    #     # Remove duplicates while preserving order
+    #     unique_instruments = list(dict.fromkeys(all_instruments))
+
+    #     store_config_in_database(
+    #         db_path=args.result_db,
+    #         config_file_path=args.config,
+    #         config=config,
+    #         fit_method_class=fit_method_class_name,
+    #         datafiles=datafiles,
+    #         instruments=unique_instruments,
+    #     )
+
+    # Process each data file
+    stat_model_price = config["stat_model_price"]
+
+    print(f"\n====== Processing {os.path.basename(datafile)} ======")
+
+    # Determine instruments to use
+    if args.instruments:
+        # Use CLI-specified instruments
+        instruments = [inst.strip() for inst in args.instruments.split(",")]
+        print(f"Using CLI-specified instruments: {instruments}")
+    else:
+        # Auto-detect instruments from database
+        instruments = get_available_instruments_from_db(datafile, config)
+        print(f"Auto-detected instruments: {instruments}")
+
+    if not instruments:
+        print(f"No instruments found in {datafile}...")
+        return
+    # Process data for this file
+    try:
+        cointegration_data: pd.DataFrame = pd.DataFrame()
+        for pair in create_pairs(datafile, stat_model_price, config, instruments):
+            cointegration_data = pd.concat([cointegration_data, pair.cointegration_check()])
+
+        pd.set_option('display.width', 400)
+        pd.set_option('display.max_colwidth', None)
+        pd.set_option('display.max_columns', None)
+        with pd.option_context('display.max_rows', None, 'display.max_columns', None):
+            print(f"cointegration_data:\n{cointegration_data}")
+
+    except Exception as err:
+        print(f"Error processing {datafile}: {str(err)}")
+        import traceback
+
+        traceback.print_exc()
+
+
+
+if __name__ == "__main__":
+    main()

research/notebooks/pt_pair_backtest.ipynb

@@ -0,0 +1,16 @@
+{
+ "cells": [],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "name": "python",
+   "version": "3.12.5"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

research/pt_backtest.py

@@ -0,0 +1,232 @@
+import argparse
+import glob
+import importlib
+import os
+from datetime import date, datetime
+from typing import Any, Dict, List, Optional, Tuple
+
+import pandas as pd
+
+from research.research_tools import create_pairs
+from tools.config import expand_filename, load_config
+from pt_trading.results import (
+    BacktestResult,
+    create_result_database,
+    store_config_in_database,
+)
+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[Tuple[DayT, DataFileNameT]]:
+    resolved_files: List[Tuple[DayT, DataFileNameT]] = []
+    for inst in instruments:
+        pattern = date_pattern
+        inst_type = inst["instrument_type"]
+        data_dir = config["market_data_loading"][inst_type]["data_directory"]
+        if "*" in pattern or "?" in pattern:
+            # Handle wildcards
+            if not os.path.isabs(pattern):
+                pattern = os.path.join(data_dir, f"{pattern}.mktdata.ohlcv.db")
+            matched_files = glob.glob(pattern)
+            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((date_pattern, pattern))
+    return sorted(list(set(resolved_files)))  # Remove duplicates and sort
+
+
+def get_instruments(args: argparse.Namespace, config: Dict) -> List[Dict[str, str]]:
+
+    instruments = [
+        {
+            "symbol": inst.split(":")[0],
+            "instrument_type": inst.split(":")[1],
+            "exchange_id": inst.split(":")[2],
+            "instrument_id_pfx": config["market_data_loading"][inst.split(":")[1]][
+                "instrument_id_pfx"
+            ],
+            "db_table_name": config["market_data_loading"][inst.split(":")[1]][
+                "db_table_name"
+            ],
+        }
+        for inst in args.instruments.split(",")
+    ]
+    return instruments
+
+
+def run_backtest(
+    config: Dict,
+    datafiles: List[str],
+    fit_method: PairsTradingFitMethod,
+    instruments: List[Dict[str, str]],
+) -> BacktestResult:
+    """
+    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
+
+    if not all([os.path.exists(datafile) for datafile in datafiles]):
+        print(f"WARNING: data file {datafiles} does not exist")
+        return bt_result
+
+    pairs_trades = []
+
+    pairs = create_pairs(
+        datafiles=datafiles,
+        fit_method=fit_method,
+        config=config,
+        instruments=instruments,
+    )
+    for pair in pairs:
+        single_pair_trades = fit_method.run_pair(pair=pair, bt_result=bt_result)
+        if single_pair_trades is not None and len(single_pair_trades) > 0:
+            pairs_trades.append(single_pair_trades)
+    print(f"pairs_trades:\n{pairs_trades}")
+    # Check if result_list has any data before concatenating
+    if len(pairs_trades) == 0:
+        print("No trading signals found for any pairs")
+        return bt_result
+
+    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(
+        "--config", type=str, required=True, help="Path to the configuration file."
+    )
+    parser.add_argument(
+        "--date_pattern",
+        type=str,
+        required=True,
+        help="Date YYYYMMDD, allows * and ? wildcards",
+    )
+    parser.add_argument(
+        "--instruments",
+        type=str,
+        required=True,
+        help="Comma-separated list of instrument symbols (e.g., COIN:EQUITY,GBTC:CRYPTO)",
+    )
+    parser.add_argument(
+        "--result_db",
+        type=str,
+        required=True,
+        help="Path to SQLite database for storing results. Use 'NONE' to disable database output.",
+    )
+
+    args = parser.parse_args()
+
+    config: Dict = load_config(args.config)
+
+    # Dynamically instantiate fit method class
+    fit_method = PairsTradingFitMethod.create(config)
+
+    # Resolve data files (CLI takes priority over config)
+    instruments = get_instruments(args, config)
+    datafiles = resolve_datafiles(config, args.date_pattern, instruments)
+
+    days = list(set([day for day, _ in datafiles]))
+    print(f"Found {len(datafiles)} data files to process:")
+    for df in datafiles:
+        print(f"  - {df}")
+
+    # Create result database if needed
+    if args.result_db.upper() != "NONE":
+        args.result_db = expand_filename(args.result_db)
+        create_result_database(args.result_db)
+
+    # Initialize a dictionary to store all trade results
+    all_results: Dict[str, Dict[str, Any]] = {}
+    is_config_stored = False
+    # Process each data file
+
+    for day in sorted(days):
+        md_datafiles = [datafile for md_day, datafile in datafiles if md_day == day]
+        if not all([os.path.exists(datafile) for datafile in md_datafiles]):
+            print(f"WARNING: insufficient data files: {md_datafiles}")
+            continue
+        print(f"\n====== Processing {day} ======")
+
+        if not is_config_stored:    
+            store_config_in_database(
+                db_path=args.result_db,
+                config_file_path=args.config,
+                config=config,
+                fit_method_class=config["fit_method_class"],
+                datafiles=datafiles,
+                instruments=instruments,
+            )
+            is_config_stored = True
+
+        # Process data for this file
+        try:
+            fit_method.reset()
+
+            bt_results = run_backtest(
+                config=config,
+                datafiles=md_datafiles,
+                fit_method=fit_method,
+                instruments=instruments,
+            )
+            
+            if bt_results.trades is None or len(bt_results.trades) == 0:
+                print(f"No trades found for {day}")
+                continue
+
+            # Store results with day name as key
+            filename = os.path.basename(day)
+            all_results[filename] = {
+                "trades": bt_results.trades.copy(),
+                "outstanding_positions": bt_results.outstanding_positions.copy(),
+            }
+
+            # Store results in database
+            if args.result_db.upper() != "NONE":
+                bt_results.calculate_returns(
+                    {
+                        filename: {
+                            "trades": bt_results.trades.copy(),
+                            "outstanding_positions": bt_results.outstanding_positions.copy(),
+                        }
+                    }
+                )
+                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 {day}: {str(err)}")
+            import traceback
+
+            traceback.print_exc()
+
+    # Calculate and print results using a new BacktestResult instance for aggregation
+    if all_results:
+        aggregate_bt_results = BacktestResult(config=config)
+        aggregate_bt_results.calculate_returns(all_results)
+        aggregate_bt_results.print_grand_totals()
+        aggregate_bt_results.print_outstanding_positions()
+
+        if args.result_db.upper() != "NONE":
+            print(f"\nResults stored in database: {args.result_db}")
+    else:
+        print("No results to display.")
+
+
+if __name__ == "__main__":
+    main()

research/research_tools.py

@@ -0,0 +1,93 @@
+import glob
+import os
+from typing import Dict, List, Optional
+
+import pandas as pd
+from pt_trading.fit_method import PairsTradingFitMethod
+
+def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List[str]:
+    """
+    Resolve the list of data files to process.
+    CLI datafiles take priority over config datafiles.
+    Supports wildcards in config but not in CLI.
+    """
+    if cli_datafiles:
+        # CLI override - comma-separated list, no wildcards
+        datafiles = [f.strip() for f in cli_datafiles.split(",")]
+        # Make paths absolute relative to data directory
+        data_dir = config.get("data_directory", "./data")
+        resolved_files = []
+        for df in datafiles:
+            if not os.path.isabs(df):
+                df = os.path.join(data_dir, df)
+            resolved_files.append(df)
+        return resolved_files
+
+    # Use config datafiles with wildcard support
+    config_datafiles = config.get("datafiles", [])
+    data_dir = config.get("data_directory", "./data")
+    resolved_files = []
+
+    for pattern in config_datafiles:
+        if "*" in pattern or "?" in pattern:
+            # Handle wildcards
+            if not os.path.isabs(pattern):
+                pattern = os.path.join(data_dir, pattern)
+            matched_files = glob.glob(pattern)
+            resolved_files.extend(matched_files)
+        else:
+            # Handle explicit file path
+            if not os.path.isabs(pattern):
+                pattern = os.path.join(data_dir, pattern)
+            resolved_files.append(pattern)
+
+    return sorted(list(set(resolved_files)))  # Remove duplicates and sort
+
+
+def create_pairs(
+    datafiles: List[str],
+    fit_method: PairsTradingFitMethod,
+    config: Dict,
+    instruments: List[Dict[str, str]],
+) -> List:
+    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]
+    pairs = []
+
+    # Update config to use the specified instruments
+    config_copy = config.copy()
+    config_copy["instruments"] = instruments
+
+    market_data_df = pd.DataFrame()
+    extra_minutes = 0
+    if "execution_price" in config_copy:
+        extra_minutes = config_copy["execution_price"]["shift"]
+
+    for datafile in datafiles:
+        md_df = load_market_data(
+            datafile = datafile,
+            instruments = instruments,
+            db_table_name = config_copy["market_data_loading"][instruments[0]["instrument_type"]]["db_table_name"],
+            trading_hours=config_copy["trading_hours"],
+            extra_minutes=extra_minutes,
+        )
+        market_data_df = pd.concat([market_data_df, md_df])
+
+    if len(set(market_data_df["symbol"])) != 2: # both symbols must be present for a pair
+        print(f"WARNING: insufficient data in files: {datafiles}")
+        return []
+
+    for a_index, b_index in unique_index_pairs:
+        symbol_a=instruments[a_index]["symbol"]
+        symbol_b=instruments[b_index]["symbol"]
+        pair = fit_method.create_trading_pair(
+            config=config_copy,
+            market_data=market_data_df,
+            symbol_a=symbol_a,
+            symbol_b=symbol_b,
+        )
+        pairs.append(pair)
+    return pairs

scripts/load_crypto_1min.sh

@@ -0,0 +1,42 @@
+#!/usr/bin/env bash
+
+# -------------------------------------
+# --- Given month, specific dates
+# -------------------------------------
+
+# for dt in 20250528 20250529 20250530 20250531; do
+# 	rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/2025/2025-05/${dt}.*.gz ./
+# done
+# -------------------------------------
+
+# -------------------------------------
+# --- Current month - all files
+# -------------------------------------
+cd $(realpath $(dirname $0))/..
+mkdir -p ./data/crypto
+pushd ./data/crypto
+
+Files=$1
+if [ -z "$Files" ]; then
+    Files="*.gz"
+fi
+
+Cmd="rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/${Files} ./"
+echo $Cmd
+eval $Cmd
+# -------------------------------------
+
+for srcfname in $(ls *.db.gz); do
+    dt="${srcfname:0:8}"
+    tgtfile=${dt}.mktdata.ohlcv.db
+    echo "${srcfname} -> ${tgtfile}"
+
+    Cmd="gunzip -c $srcfname > temp.db"
+    echo $Cmd
+    eval $Cmd
+    Cmd="rm -f ${tgtfile} && sqlite3 temp.db \".dump md_1min_bars\" | sqlite3  ${tgtfile} && rm ${srcfname}"
+    echo $Cmd
+    eval $Cmd
+done
+rm temp.db
+popd

scripts/load_equity_1min.sh

@@ -0,0 +1,37 @@
+#!/usr/bin/env bash
+
+usage() {
+    echo "Usage: $0 [DatePattern]"
+    echo "DatePattern: YYYYMM or YYYYM or YYYYMMD"
+    exit 1
+}
+
+DatePattern="${1}"
+if [ -z "${DatePattern}" ]; then
+    usage
+fi
+FilePattern="${DatePattern}*.alpaca_sim_md.db.gz"
+
+cd $(realpath $(dirname $0))/..
+mkdir -p ./data/equity
+pushd ./data/equity
+
+Cmd="rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/equity/alpaca_md/sim/${FilePattern} ./"
+echo ${Cmd}
+eval ${Cmd}
+# -------------------------------------
+
+for srcfname in $(ls *.db.gz); do
+    dt="${srcfname:0:8}"
+    tgtfile=${dt}.mktdata.ohlcv.db
+    echo "${srcfname} -> ${tgtfile}"
+
+    Cmd="gunzip -c $srcfname > temp.db && rm $srcfname"
+    echo ${Cmd}
+    eval ${Cmd}
+    Cmd="rm -f ${tgtfile} && sqlite3 temp.db '.dump md_1min_bars' | sqlite3  ${tgtfile}"
+    echo ${Cmd}
+    eval ${Cmd}
+done
+rm temp.db
+popd

src/pt_backtest.py

@@ -1,731 +0,0 @@
-import datetime
-import sys
-import json
-
-from typing import Any, Dict, List, Tuple, Optional
-
-import pandas as pd
-import numpy as np
-
-# ============= statsmodels ===================
-from statsmodels.tsa.vector_ar.vecm import VECM
-
-NanoPerMin = 1e9
-UNSET_FLOAT: float = sys.float_info.max
-UNSET_INT: int = sys.maxsize
-
-# ------------------------ Configuration ------------------------
-# Default configuration
-CRYPTO_CONFIG: Dict = {
-    # --- Data retrieval
-    "data_directory": "./data/crypto",
-    "datafiles": [
-        "20250519.mktdata.ohlcv.db",
-    ],
-    "db_table_name": "bnbspot_ohlcv_1min",
- 
-    # ----- Instruments
-    "exchange_id": "BNBSPOT",
-    "instrument_id_pfx": "PAIR-",
-
-    "instruments": [
-        "BTC-USDT",
-        "ETH-USDT",
-        "LTC-USDT",
-    ],    
-    
-    "trading_hours": {
-        "begin_session": "00:00:00", 
-        "end_session": "23:59:00", 
-        "timezone": "UTC"
-    },
-
-    # ----- Model Settings
-    "price_column": "close",
-    "min_required_points": 30,
-    "zero_threshold": 1e-10,
-    "equilibrium_threshold_open": 5.0,
-    "equilibrium_threshold_close": 1.0,
-    "training_minutes": 120,
-
-    # ----- Validation
-    "funding_per_pair": 2000.0,  # USD
-}
-# ========================== EQUITIES
-EQT_CONFIG: Dict = {
-    # --- Data retrieval
-    "data_directory": "./data/equity",
-    "datafiles": [
-        "20250508.alpaca_sim_md.db",
-        # "20250509.alpaca_sim_md.db",
-        # "20250512.alpaca_sim_md.db",
-        # "20250513.alpaca_sim_md.db",
-        # "20250514.alpaca_sim_md.db",
-        # "20250515.alpaca_sim_md.db",
-        # "20250516.alpaca_sim_md.db",
-        # "20250519.alpaca_sim_md.db",
-        # "20250520.alpaca_sim_md.db"
-    ],
-    "db_table_name": "md_1min_bars",
-
-     # ----- Instruments
-   "exchange_id": "ALPACA",
-    "instrument_id_pfx": "STOCK-",
-
-    "instruments": [
-        "COIN",
-        "GBTC",
-        "HOOD",
-        "MSTR",
-        "PYPL",
-    ],
-    
-    "trading_hours": {
-        "begin_session": "9:30:00", 
-        "end_session": "16:00:00", 
-        "timezone": "America/New_York"
-    },
-    
-    # ----- Model Settings
-    "price_column": "close",
-    "min_required_points": 30,
-    "zero_threshold": 1e-10,
-    "equilibrium_threshold_open": 5.0,
-    "equilibrium_threshold_close": 1.0,
-    "training_minutes": 120,
-
-    # ----- Validation
-    "funding_per_pair": 2000.0,
-}
-
-# ==========================================================================
-CONFIG = EQT_CONFIG
-TRADES = {}
-TOTAL_UNREALIZED_PNL = 0.0  # Global variable to track total unrealized PnL
-TOTAL_REALIZED_PNL = 0.0    # Global variable to track total realized PnL
-OUTSTANDING_POSITIONS = []  # Global list to track outstanding positions with share quantities
-
-class TradingPair:
-    symbol_a_: str
-    symbol_b_: str
-    price_column_: str
-
-    def __init__(self, symbol_a: str, symbol_b: str, price_column: str):
-        self.symbol_a_ = symbol_a
-        self.symbol_b_ = symbol_b
-        self.price_column_ = price_column
-
-    def colnames(self) -> List[str]:
-        return [f"{self.price_column_}_{self.symbol_a_}", f"{self.price_column_}_{self.symbol_b_}"]
-
-    def __repr__(self) ->str:
-        return f"{self.symbol_a_} & {self.symbol_b_}"
-
-def convert_time_to_UTC(value: str, timezone: str):
-
-    from zoneinfo import ZoneInfo
-    from datetime import datetime
-
-    # Parse it to naive datetime object
-    local_dt = datetime.strptime(value, '%Y-%m-%d %H:%M:%S')
-
-    zinfo = ZoneInfo(timezone)
-    result = local_dt.replace(tzinfo=zinfo)
-    
-    result = result.astimezone(ZoneInfo('UTC'))
-    result = result.strftime('%Y-%m-%d %H:%M:%S')
-
-    return result
-
-
-    pass
-    
-def load_market_data(datafile: str, config: Dict) -> pd.DataFrame:
-    from tools.data_loader import load_sqlite_to_dataframe
-
-    instrument_ids = ["\"" + config["instrument_id_pfx"] + instrument + "\"" for instrument in config["instruments"]]
-    exchange_id = config["exchange_id"]
-
-    query = "select tstamp"
-    query += ", tstamp_ns as time_ns"
-    query += ", substr(instrument_id, 7) as symbol"
-    query += ", open"
-    query += ", high"
-    query += ", low"
-    query += ", close"
-    query += ", volume"
-    query += ", num_trades"
-    query += ", vwap"
-
-    query += f" from {config['db_table_name']}"
-    query += f" where exchange_id ='{exchange_id}'"
-    query += f" and instrument_id in ({','.join(instrument_ids)})"
-
-    df = load_sqlite_to_dataframe(db_path=datafile, query=query)
-
-    # Trading Hours
-    date_str = df["tstamp"][0][0:10]
-    trading_hours = CONFIG['trading_hours']
-    start_time = f"{date_str} {trading_hours['begin_session']}"
-    end_time = f"{date_str} {trading_hours['end_session']}"
-    
-    start_time = convert_time_to_UTC(start_time, trading_hours["timezone"])
-    end_time = convert_time_to_UTC(end_time, trading_hours["timezone"])
-
-    # Perform boolean selection
-    df = df[(df["tstamp"] >= start_time) & (df["tstamp"] <= end_time)]
-    df["tstamp"] = pd.to_datetime(df["tstamp"])
-
-    return df
-
-def transform_dataframe(df: pd.DataFrame, price_column: str):
-    # Select only the columns we need
-    df_selected = df[["tstamp", "symbol", price_column]]
-
-    # Start with unique timestamps
-    result_df: pd.DataFrame = pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
-
-    # For each unique symbol, add a corresponding close price column
-    for symbol in df_selected["symbol"].unique():
-        # Filter rows for this symbol
-        df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(drop=True)
-
-        # Create column name like "close-COIN"
-        new_price_column = f"{price_column}_{symbol}"
-
-        # Create temporary dataframe with timestamp and price
-        temp_df = pd.DataFrame({
-            "tstamp": df_symbol["tstamp"],
-            new_price_column: df_symbol[price_column]
-        })
-
-        # Join with our result dataframe
-        result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
-        result_df = result_df.reset_index(drop=True) # do not dropna() since irrelevant symbol would affect dataset
-
-    return result_df
-
-def get_datasets(df: pd.DataFrame, training_minutes: int, pair: TradingPair) -> Tuple[pd.DataFrame, pd.DataFrame]:
-    # Training dataset
-    colname_a, colname_b = pair.colnames()
-    df = df[["tstamp", colname_a, colname_b]]
-    df = df.dropna()
-
-    training_df = df.iloc[:training_minutes - 1, :].copy()
-    training_df.reset_index(drop=True).dropna().reset_index(drop=True)
-
-    # Testing dataset
-    testing_df = df.iloc[training_minutes:, :].copy()
-    testing_df.reset_index(drop=True).dropna().reset_index(drop=True)
-
-    return (training_df, testing_df)
-
-def fit_VECM(training_pair_df, pair: TradingPair):
-    vecm_model = VECM(training_pair_df[pair.colnames()].reset_index(drop=True), coint_rank=1)
-    vecm_fit = vecm_model.fit()
-
-    # Check if the model converged properly
-    if not hasattr(vecm_fit, "beta") or vecm_fit.beta is None:
-        print(f"{pair}: VECM model failed to converge properly")
-
-    return vecm_fit
-
-def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.DataFrame:
-    result_columns = [
-        "time",
-        "action",
-        "symbol",
-        "price",
-        "equilibrium",
-        "pair",
-    ]
-
-    next_values = vecm_fit.predict(steps=len(testing_pair_df))
-    colname_a, colname_b = pair.colnames()
-
-    # Convert prediction to a DataFrame for readability
-    predicted_df = pd.DataFrame(next_values, columns=[colname_a, colname_b])
-
-    beta = vecm_fit.beta
-
-    predicted_df["equilibrium_term"] = (
-        beta[0] * predicted_df[colname_a]
-        + beta[1] * predicted_df[colname_b]
-    )
-
-    pair_result_df = pd.merge(
-        testing_pair_df.reset_index(drop=True), predicted_df, left_index=True, right_index=True, suffixes=('', '_pred')
-    ).dropna()
-
-    pair_result_df["equilibrium"] = (
-        beta[0] * pair_result_df[colname_a]
-        + beta[1] * pair_result_df[colname_b]
-    )
-
-    pair_result_df["abs_equilibrium"] = np.abs(pair_result_df["equilibrium"])
-
-    # Reset index to ensure proper indexing
-    pair_result_df = pair_result_df.reset_index()
-
-    # Iterate through the testing dataset to find the first trading opportunity
-    open_row_index = None
-    initial_abs_term = None
-
-    for row_idx in range(len(pair_result_df)):
-        current_abs_term = pair_result_df["abs_equilibrium"][row_idx]
-
-        # Check if current row has sufficient equilibrium (not near-zero)
-        if current_abs_term >= CONFIG["equilibrium_threshold_open"]:
-            open_row_index = row_idx
-            initial_abs_term = current_abs_term
-            break
-
-    # If no row with sufficient equilibrium found, skip this pair
-    if open_row_index is None:
-        print(f"{pair}: Insufficient divergence in testing dataset. Skipping.")
-        return pd.DataFrame()
-
-    # Look for close signal starting from the open position
-    trading_signals_df = (
-        pair_result_df["abs_equilibrium"][open_row_index:]
-        # < initial_abs_term / CONFIG["equilibrium_threshold_close"]
-        < CONFIG["equilibrium_threshold_close"]
-    )
-
-    # Adjust indices to account for the offset from open_row_index
-    close_row_index = None
-    for idx, value in trading_signals_df.items():
-        if value:
-            close_row_index = idx
-            break
-
-    open_row = pair_result_df.loc[open_row_index]
-    open_tstamp = open_row["tstamp"]
-    open_eqlbrm = open_row["equilibrium"]
-    open_px_a = open_row[f"{colname_a}"]
-    open_px_b = open_row[f"{colname_b}"]
-
-    abs_beta = abs(beta[1])
-    pred_px_b = pair_result_df.loc[open_row_index][f"{colname_b}_pred"]
-    pred_px_a = pair_result_df.loc[open_row_index][f"{colname_a}_pred"]
-
-    if pred_px_b * abs_beta - pred_px_a > 0:
-        open_side_a = "BUY"
-        open_side_b = "SELL"
-        close_side_a = "SELL"
-        close_side_b = "BUY"
-    else:
-        open_side_b = "BUY"
-        open_side_a = "SELL"
-        close_side_b = "SELL"
-        close_side_a = "BUY"
-
-    # If no close signal found, print position and unrealized PnL
-    if close_row_index is None:
-        global TOTAL_UNREALIZED_PNL, OUTSTANDING_POSITIONS
-
-        last_row_index = len(pair_result_df) - 1
-        last_row = pair_result_df.loc[last_row_index]
-        last_tstamp = last_row["tstamp"]
-        last_px_a = last_row[f"{colname_a}"]
-        last_px_b = last_row[f"{colname_b}"]
-
-        # Calculate share quantities based on $1000 funding per pair
-        # Split $1000 equally between the two positions ($500 each)
-        funding_per_position = CONFIG["funding_per_pair"] / 2
-        shares_a = funding_per_position / open_px_a
-        shares_b = funding_per_position / open_px_b
-
-        # Calculate unrealized PnL for each position
-        if open_side_a == "BUY":
-            unrealized_pnl_a = (last_px_a - open_px_a) / open_px_a * 100
-            unrealized_dollar_a = shares_a * (last_px_a - open_px_a)
-        else:  # SELL
-            unrealized_pnl_a = (open_px_a - last_px_a) / open_px_a * 100
-            unrealized_dollar_a = shares_a * (open_px_a - last_px_a)
-
-        if open_side_b == "BUY":
-            unrealized_pnl_b = (last_px_b - open_px_b) / open_px_b * 100
-            unrealized_dollar_b = shares_b * (last_px_b - open_px_b)
-        else:  # SELL
-            unrealized_pnl_b = (open_px_b - last_px_b) / open_px_b * 100
-            unrealized_dollar_b = shares_b * (open_px_b - last_px_b)
-
-        total_unrealized_pnl = unrealized_pnl_a + unrealized_pnl_b
-        total_unrealized_dollar = unrealized_dollar_a + unrealized_dollar_b
-
-        # Add to global total
-        TOTAL_UNREALIZED_PNL += total_unrealized_pnl
-
-        # Store outstanding positions
-        OUTSTANDING_POSITIONS.append({
-            'pair': str(pair),
-            'symbol_a': pair.symbol_a_,
-            'symbol_b': pair.symbol_b_,
-            'side_a': open_side_a,
-            'side_b': open_side_b,
-            'shares_a': shares_a,
-            'shares_b': shares_b,
-            'open_px_a': open_px_a,
-            'open_px_b': open_px_b,
-            'current_px_a': last_px_a,
-            'current_px_b': last_px_b,
-            'unrealized_dollar_a': unrealized_dollar_a,
-            'unrealized_dollar_b': unrealized_dollar_b,
-            'total_unrealized_dollar': total_unrealized_dollar,
-            'open_time': open_tstamp,
-            'last_time': last_tstamp,
-            'initial_abs_term': initial_abs_term,
-            'current_abs_term': pair_result_df.loc[last_row_index, "abs_equilibrium"],
-            'closing_threshold': initial_abs_term / CONFIG["equilibrium_threshold_close"],
-            'equilibrium_ratio': pair_result_df.loc[last_row_index, "abs_equilibrium"] / (initial_abs_term / CONFIG["equilibrium_threshold_close"])
-        })
-
-        print(f"{pair}: NO CLOSE SIGNAL FOUND - Position held until end of session")
-        print(f"  Open: {open_tstamp} | Last: {last_tstamp}")
-        print(f"  {pair.symbol_a_}: {open_side_a} {shares_a:.2f} shares @ ${open_px_a:.2f} -> ${last_px_a:.2f} | Unrealized: ${unrealized_dollar_a:.2f} ({unrealized_pnl_a:.2f}%)")
-        print(f"  {pair.symbol_b_}: {open_side_b} {shares_b:.2f} shares @ ${open_px_b:.2f} -> ${last_px_b:.2f} | Unrealized: ${unrealized_dollar_b:.2f} ({unrealized_pnl_b:.2f}%)")
-        print(f"  Total Unrealized: ${total_unrealized_dollar:.2f} ({total_unrealized_pnl:.2f}%)")
-
-        # Return only open trades (no close trades)
-        trd_signal_tuples = [
-            (
-                open_tstamp,
-                open_side_a,
-                pair.symbol_a_,
-                open_px_a,
-                open_eqlbrm,
-                pair,
-            ),
-            (
-                open_tstamp,
-                open_side_b,
-                pair.symbol_b_,
-                open_px_b,
-                open_eqlbrm,
-                pair,
-            ),
-        ]
-    else:
-        # Close signal found - create complete trade
-        close_row = pair_result_df.loc[close_row_index]
-        close_tstamp = close_row["tstamp"]
-        close_eqlbrm = close_row["equilibrium"]
-        close_px_a = close_row[f"{colname_a}"]
-        close_px_b = close_row[f"{colname_b}"]
-
-        print(f"{pair}: Close signal found at index {close_row_index}")
-
-        trd_signal_tuples = [
-            (
-                open_tstamp,
-                open_side_a,
-                pair.symbol_a_,
-                open_px_a,
-                open_eqlbrm,
-                pair,
-            ),
-            (
-                open_tstamp,
-                open_side_b,
-                pair.symbol_b_,
-                open_px_b,
-                open_eqlbrm,
-                pair,
-            ),
-            (
-                close_tstamp,
-                close_side_a,
-                pair.symbol_a_,
-                close_px_a,
-                close_eqlbrm,
-                pair,
-            ),
-            (
-                close_tstamp,
-                close_side_b,
-                pair.symbol_b_,
-                close_px_b,
-                close_eqlbrm,
-                pair,
-            ),
-        ]
-
-    # Add tuples to data frame
-    return pd.DataFrame(
-        trd_signal_tuples,
-        columns=result_columns,
-    )
-
-def run_single_pair(market_data: pd.DataFrame, price_column:str, pair: TradingPair) -> Optional[pd.DataFrame]:
-    colname_a = f"{price_column}_{pair.symbol_a_}"
-    colname_b = f"{price_column}_{pair.symbol_b_}"
-    training_pair_df, testing_pair_df = get_datasets(df=market_data, training_minutes=CONFIG["training_minutes"], pair=pair)
-
-    # Check if we have enough data points for a meaningful analysis
-    min_required_points = CONFIG[
-        "min_required_points"
-    ]  # Minimum number of points for a reasonable VECM model
-    if len(training_pair_df) < min_required_points:
-        print(
-            f"{pair}: Not enough data points for analysis. Found {len(training_pair_df)}, need at least {min_required_points}"
-        )
-        return None
-
-    # Check for non-finite values
-    if not np.isfinite(training_pair_df).all().all():
-        print(f"{pair}: Data contains non-finite values (NaN or inf)")
-        return None
-
-    # Fit the VECM
-    try:
-        vecm_fit = fit_VECM(training_pair_df, pair=pair)
-    except Exception as e:
-        print(f"{pair}: VECM fitting failed: {str(e)}")
-        return None
-
-    # Add safeguard against division by zero
-    if (
-        abs(vecm_fit.beta[1]) < CONFIG["zero_threshold"]
-    ):  # Small threshold to avoid division by very small numbers
-        print(f"{pair}: Skipping due to near-zero beta[1] value: {vecm_fit.beta[1]}")
-        return None
-
-    try:
-        pair_trades = create_trading_signals(
-                vecm_fit=vecm_fit,
-                testing_pair_df=testing_pair_df,
-                pair=pair,
-        )
-    except Exception as e:
-        print(f"{pair}: Prediction failed: {str(e)}")
-        return None
-
-    return pair_trades
-
-def add_trade(pair_nm, symbol, action, price):
-    pair_nm = str(pair_nm)
-
-
-    if pair_nm not in TRADES:
-        TRADES[pair_nm] = {symbol: []}
-    if symbol not in TRADES[pair_nm]:
-        TRADES[pair_nm][symbol] = []
-    TRADES[pair_nm][symbol].append((action, price))
-
-def collect_single_day_results(result):
-    if result is None:
-        return
-
-    print("\n --------------  Suggested Trades ")
-    print(result)
-
-    for row in result.itertuples():
-        action = row.action
-        symbol = row.symbol
-        price = row.price
-        add_trade(pair_nm=row.pair, action=action, symbol=symbol, price=price)
-
-def print_single_day_results(result):
-    for pair, symbols in TRADES.items():
-        print(f"\n--- {pair} ---")
-        for symbol, trades in symbols.items():
-            for side, price in trades:
-                print(f"{symbol} {side} at ${price}")
-
-def print_results_suummary(all_results):
-    # Summary of all processed files
-    print("\n====== Summary of All Processed Files ======")
-    for filename, data in all_results.items():
-        trade_count = sum(
-            len(trades)
-            for symbol_trades in data["trades"].values()
-            for trades in symbol_trades.values()
-        )
-        print(f"{filename}: {trade_count} trades")
-
-
-def calculate_returns(all_results: Dict):
-    global TOTAL_REALIZED_PNL
-    print("\n====== Returns By Day and Pair ======")
-
-    for filename, data in all_results.items():
-        day_return = 0
-        print(f"\n--- {filename} ---")
-
-        # Process each pair
-        for pair, symbols in data["trades"].items():
-            pair_return = 0
-            pair_trades = []
-
-            # Calculate individual symbol returns in the pair
-            for symbol, trades in symbols.items():
-                if len(trades) >= 2:  # Need at least entry and exit
-                    # Get entry and exit trades
-                    entry_action, entry_price = trades[0]
-                    exit_action, exit_price = trades[1]
-
-                    # Calculate return based on action
-                    symbol_return = 0
-                    if entry_action == "BUY" and exit_action == "SELL":
-                        # Long position
-                        symbol_return = (exit_price - entry_price) / entry_price * 100
-                    elif entry_action == "SELL" and exit_action == "BUY":
-                        # Short position
-                        symbol_return = (entry_price - exit_price) / entry_price * 100
-
-                    pair_trades.append(
-                        (
-                            symbol,
-                            entry_action,
-                            entry_price,
-                            exit_action,
-                            exit_price,
-                            symbol_return,
-                        )
-                    )
-                    pair_return += symbol_return
-
-            # Print pair returns
-            if pair_trades:
-                print(f"  {pair}:")
-                for (
-                    symbol,
-                    entry_action,
-                    entry_price,
-                    exit_action,
-                    exit_price,
-                    symbol_return,
-                ) in pair_trades:
-                    print(
-                        f"    {symbol}: {entry_action} @ ${entry_price:.2f}, {exit_action} @ ${exit_price:.2f}, Return: {symbol_return:.2f}%"
-                    )
-                print(f"    Pair Total Return: {pair_return:.2f}%")
-                day_return += pair_return
-
-        # Print day total return and add to global realized PnL
-        if day_return != 0:
-            print(f"  Day Total Return: {day_return:.2f}%")
-            TOTAL_REALIZED_PNL += day_return
-
-def run_pairs(summaries_df: pd.DataFrame, price_column: str) -> None:
-
-    result_df = transform_dataframe(df=summaries_df, price_column=price_column)
-
-    stock_price_columns = [
-        column
-        for column in result_df.columns
-        if column.startswith(f"{price_column}_")
-    ]
-
-    # Find the starting indices for A and B
-    all_indexes = range(len(stock_price_columns))
-    unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
-
-    pairs_trades = []
-    for a_index, b_index in unique_index_pairs:
-        # Get the actual variable names
-        colname_a = stock_price_columns[a_index]
-        colname_b = stock_price_columns[b_index]
-
-        symbol_a = colname_a[len(f"{price_column}-") :]
-        symbol_b = colname_b[len(f"{price_column}-") :] 
-        pair = TradingPair(symbol_a, symbol_b, price_column)
-
-        single_pair_trades = run_single_pair(market_data=result_df, price_column=price_column, pair=pair)
-        if len(single_pair_trades) > 0:
-            pairs_trades.append(single_pair_trades)
-    # Check if result_list has any data before concatenating
-    if len(pairs_trades) == 0:
-        print("No trading signals found for any pairs")
-        return None
-
-    result = pd.concat(pairs_trades, ignore_index=True)
-    result["time"] = pd.to_datetime(result["time"])
-    result = result.set_index("time").sort_index()
-
-    collect_single_day_results(result)
-    # print_single_day_results(result)
-
-def print_outstanding_positions():
-    """Print all outstanding positions with share quantities and unrealized PnL"""
-    if not OUTSTANDING_POSITIONS:
-        print("\n====== NO OUTSTANDING POSITIONS ======")
-        return
-
-    print(f"\n====== OUTSTANDING POSITIONS ======")
-    print(f"{'Pair':<15} {'Symbol':<6} {'Side':<4} {'Shares':<10} {'Open $':<8} {'Current $':<10} {'Unrealized $':<12} {'%':<8} {'Close Eq':<10}")
-    print("-" * 105)
-
-    total_unrealized_dollar = 0.0
-
-    for pos in OUTSTANDING_POSITIONS:
-        # Print position A
-        print(f"{pos['pair']:<15} {pos['symbol_a']:<6} {pos['side_a']:<4} {pos['shares_a']:<10.2f} {pos['open_px_a']:<8.2f} {pos['current_px_a']:<10.2f} {pos['unrealized_dollar_a']:<12.2f} {pos['unrealized_dollar_a']/500*100:<8.2f} {'':<10}")
-
-        # Print position B
-        print(f"{'':<15} {pos['symbol_b']:<6} {pos['side_b']:<4} {pos['shares_b']:<10.2f} {pos['open_px_b']:<8.2f} {pos['current_px_b']:<10.2f} {pos['unrealized_dollar_b']:<12.2f} {pos['unrealized_dollar_b']/500*100:<8.2f} {'':<10}")
-
-        # Print pair totals with equilibrium info
-        equilibrium_status = "CLOSE" if pos['current_abs_term'] < pos['closing_threshold'] else f"{pos['equilibrium_ratio']:.2f}x"
-        print(f"{'':<15} {'PAIR':<6} {'TOT':<4} {'':<10} {'':<8} {'':<10} {pos['total_unrealized_dollar']:<12.2f} {pos['total_unrealized_dollar']/1000*100:<8.2f} {equilibrium_status:<10}")
-
-        # Print equilibrium details
-        print(f"{'':<15} {'EQ':<6} {'INFO':<4} {'':<10} {'':<8} {'':<10} {'Curr:':<6}{pos['current_abs_term']:<6.4f} {'Thresh:':<7}{pos['closing_threshold']:<6.4f} {'':<10}")
-        print("-" * 105)
-
-        total_unrealized_dollar += pos['total_unrealized_dollar']
-
-    print(f"{'TOTAL OUTSTANDING':<80} ${total_unrealized_dollar:<12.2f}")
-
-if __name__ == "__main__":
-    # Initialize a dictionary to store all trade results
-    all_results = {}
-
-    # Initialize global PnL tracking variables
-    TOTAL_REALIZED_PNL = 0.0
-    TOTAL_UNREALIZED_PNL = 0.0
-    OUTSTANDING_POSITIONS = []
-
-    # Process each data file
-    price_column = CONFIG["price_column"]
-    for datafile in CONFIG["datafiles"]:
-        print(f"\n====== Processing {datafile} ======")
-
-        # Clear the TRADES global dictionary and reset unrealized PnL for the new file
-        TRADES.clear()
-        TOTAL_UNREALIZED_PNL = 0.0
-        TOTAL_REALIZED_PNL = 0.0
-
-        # Process data for this file
-        try:
-            run_pairs(
-                summaries_df=load_market_data(f'{CONFIG["data_directory"]}/{datafile}', config=CONFIG),
-                price_column=price_column
-            )
-
-            # Store results with file name as key
-            filename = datafile.split("/")[-1]
-            all_results[filename] = {"trades": TRADES.copy()}
-
-            print(f"Successfully processed {filename}")
-
-            # Print total unrealized PnL for this file
-            if TOTAL_UNREALIZED_PNL != 0:
-                print(f"\n====== TOTAL UNREALIZED PnL for {filename}: {TOTAL_UNREALIZED_PNL:.2f}% ======")
-            else:
-                print(f"\n====== No unrealized positions for {filename} ======")
-
-        except Exception as e:
-            print(f"Error processing {datafile}: {str(e)}")
-
-    # print_results_suummary(all_results)
-    calculate_returns(all_results)
-
-    # Print grand totals
-    print(f"\n====== GRAND TOTALS ACROSS ALL PAIRS ======")
-    print(f"Total Realized PnL: {TOTAL_REALIZED_PNL:.2f}%")
-    print(f"Total Unrealized PnL: {TOTAL_UNREALIZED_PNL:.2f}%")
-    print(f"Combined Total PnL: {TOTAL_REALIZED_PNL + TOTAL_UNREALIZED_PNL:.2f}%")
-
-    print_outstanding_positions()

src/tools/data_loader.py

@@ -1,25 +0,0 @@
-
-import sys
-import sqlite3
-import pandas as pd
-
-def load_sqlite_to_dataframe(db_path, query):
-    try:
-        conn = sqlite3.connect(db_path)
-
-        df = pd.read_sql_query(query, conn)
-        return df
-    except sqlite3.Error as excpt:
-        print(f"SQLite error: {excpt}")
-        raise
-    except Exception as e:
-        print(f"Error: {excpt}")
-        raise
-    finally:
-        if 'conn' in locals():
-            conn.close()
-
-if __name__ == "__main__":
-    df1 = load_sqlite_to_dataframe(sys.argv[1], table_name='md_1min_bars')
-
-    print(df1)

strategy/pair_strategy.py

@@ -0,0 +1,221 @@
+import argparse
+import asyncio
+import glob
+import importlib
+import os
+from datetime import date, datetime
+from typing import Any, Dict, List, Optional
+
+import hjson
+import pandas as pd
+
+from tools.data_loader import get_available_instruments_from_db, load_market_data
+from pt_trading.results import (
+    BacktestResult,
+    create_result_database,
+    store_config_in_database,
+    store_results_in_database,
+)
+from pt_trading.fit_methods import PairsTradingFitMethod
+from pt_trading.trading_pair import TradingPair
+
+
+def run_strategy(
+    config: Dict,
+    datafile: str,
+    fit_method: PairsTradingFitMethod,
+    instruments: List[str],
+) -> BacktestResult:
+    """
+    Run backtest for all pairs using the specified instruments.
+    """
+    bt_result: BacktestResult = BacktestResult(config=config)
+
+    def _create_pairs(config: Dict, instruments: List[str]) -> List[TradingPair]:
+        nonlocal datafile
+        all_indexes = range(len(instruments))
+        unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
+        pairs = []
+
+        # Update config to use the specified instruments
+        config_copy = config.copy()
+        config_copy["instruments"] = instruments
+
+        market_data_df = load_market_data(
+            datafile=datafile,
+            exchange_id=config_copy["exchange_id"],
+            instruments=config_copy["instruments"],
+            instrument_id_pfx=config_copy["instrument_id_pfx"],
+            db_table_name=config_copy["db_table_name"],
+            trading_hours=config_copy["trading_hours"],
+        )
+
+        for a_index, b_index in unique_index_pairs:
+            pair = fit_method.create_trading_pair(
+                market_data=market_data_df,
+                symbol_a=instruments[a_index],
+                symbol_b=instruments[b_index],
+            )
+            pairs.append(pair)
+        return pairs
+
+    pairs_trades = []
+    for pair in _create_pairs(config, instruments):
+        single_pair_trades = fit_method.run_pair(
+            pair=pair, config=config, bt_result=bt_result
+        )
+        if single_pair_trades is not None and len(single_pair_trades) > 0:
+            pairs_trades.append(single_pair_trades)
+
+    # Check if result_list has any data before concatenating
+    if len(pairs_trades) == 0:
+        print("No trading signals found for any pairs")
+        return bt_result
+
+    result = pd.concat(pairs_trades, ignore_index=True)
+    result["time"] = pd.to_datetime(result["time"])
+    result = result.set_index("time").sort_index()
+
+    bt_result.collect_single_day_results(result)
+    return bt_result
+
+
+def main() -> None:
+    parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
+    parser.add_argument(
+        "--config", type=str, required=True, help="Path to the configuration file."
+    )
+    parser.add_argument(
+        "--datafiles",
+        type=str,
+        required=False,
+        help="Comma-separated list of data files (overrides config). No wildcards supported.",
+    )
+    parser.add_argument(
+        "--instruments",
+        type=str,
+        required=False,
+        help="Comma-separated list of instrument symbols (e.g., COIN,GBTC). If not provided, auto-detects from database.",
+    )
+    parser.add_argument(
+        "--result_db",
+        type=str,
+        required=True,
+        help="Path to SQLite database for storing results. Use 'NONE' to disable database output.",
+    )
+
+    args = parser.parse_args()
+
+    config: Dict = load_config(args.config)
+
+    # Dynamically instantiate fit method class
+    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)()
+
+    # Resolve data files (CLI takes priority over config)
+    datafiles = resolve_datafiles(config, args.datafiles)
+
+    if not datafiles:
+        print("No data files found to process.")
+        return
+
+    print(f"Found {len(datafiles)} data files to process:")
+    for df in datafiles:
+        print(f"  - {df}")
+
+    # Create result database if needed
+    if args.result_db.upper() != "NONE":
+        create_result_database(args.result_db)
+
+    # Initialize a dictionary to store all trade results
+    all_results: Dict[str, Dict[str, Any]] = {}
+
+    # Store configuration in database for reference
+    if args.result_db.upper() != "NONE":
+        # Get list of all instruments for storage
+        all_instruments = []
+        for datafile in datafiles:
+            if args.instruments:
+                file_instruments = [
+                    inst.strip() for inst in args.instruments.split(",")
+                ]
+            else:
+                file_instruments = get_available_instruments_from_db(datafile, config)
+            all_instruments.extend(file_instruments)
+
+        # Remove duplicates while preserving order
+        unique_instruments = list(dict.fromkeys(all_instruments))
+
+        store_config_in_database(
+            db_path=args.result_db,
+            config_file_path=args.config,
+            config=config,
+            fit_method_class=fit_method_class_name,
+            datafiles=datafiles,
+            instruments=unique_instruments,
+        )
+
+    # Process each data file
+
+    for datafile in datafiles:
+        print(f"\n====== Processing {os.path.basename(datafile)} ======")
+
+        # Determine instruments to use
+        if args.instruments:
+            # Use CLI-specified instruments
+            instruments = [inst.strip() for inst in args.instruments.split(",")]
+            print(f"Using CLI-specified instruments: {instruments}")
+        else:
+            # Auto-detect instruments from database
+            instruments = get_available_instruments_from_db(datafile, config)
+            print(f"Auto-detected instruments: {instruments}")
+
+        if not instruments:
+            print(f"No instruments found for {datafile}, skipping...")
+            continue
+
+        # Process data for this file
+        try:
+            fit_method.reset()
+
+            bt_results = run_strategy(
+                config=config,
+                datafile=datafile,
+                fit_method=fit_method,
+                instruments=instruments,
+            )
+
+            # Store results with file name as key
+            filename = os.path.basename(datafile)
+            all_results[filename] = {"trades": bt_results.trades.copy()}
+
+            # Store results in database
+            if args.result_db.upper() != "NONE":
+                store_results_in_database(args.result_db, datafile, bt_results)
+
+            print(f"Successfully processed {filename}")
+
+        except Exception as err:
+            print(f"Error processing {datafile}: {str(err)}")
+            import traceback
+
+            traceback.print_exc()
+
+    # Calculate and print results using a new BacktestResult instance for aggregation
+    if all_results:
+        aggregate_bt_results = BacktestResult(config=config)
+        aggregate_bt_results.calculate_returns(all_results)
+        aggregate_bt_results.print_grand_totals()
+        aggregate_bt_results.print_outstanding_positions()
+
+        if args.result_db.upper() != "NONE":
+            print(f"\nResults stored in database: {args.result_db}")
+    else:
+        print("No results to display.")
+
+
+if __name__ == "__main__":
+    asyncio.run(main())