update

setup.py

@@ -2,7 +2,7 @@ from setuptools import setup, find_packages
 
 setup(
     name='ttools',
-    version='0.4.1',
+    version='0.4.2',
     packages=find_packages(),
     install_requires=[
         'vectorbtpro',

ttools/__init__.py

@@ -1,2 +1,3 @@
 from .vbtutils import AnchoredIndicator, create_mask_from_window, isrising, isfalling, isrisingc, isfallingc, trades2entries_exits, figs2cell
-from .vbtindicators import register_custom_inds
+from .vbtindicators import register_custom_inds
+from .utils import find_dotenv, AGG_TYPE, zoneNY, zonePRG, zoneUTC

ttools/config.py

@@ -0,0 +1,30 @@
+
+from dotenv import load_dotenv
+from appdirs import user_data_dir
+from ttools.utils import find_dotenv, AGG_TYPE, RecordType, StartBarAlign, zoneNY, zonePRG, zoneUTC
+import os
+import pytz
+
+#Trade can be shared with v2realbot, agg cache not (we use df, but v2realbot uses Queue - will be changed in the future, when vectorized agg is added to v2realbot)
+DATA_DIR = user_data_dir("v2realbot", False) # or any subfolder, if not sharing cache with v2realbot
+LOCAL_TRADE_CACHE = DATA_DIR + "/tradecache:new/" # +daily_file
+LOCAL_AGG_CACHE = DATA_DIR + "/aggcache_new/" #+ cache_file
+RECTYPE = "BAR"
+#AGG conditions -defaults
+EXCLUDE_CONDITIONS = ['C','O','4','B','7','V','P','W','U','Z','F']
+MINSIZE = 100
+RECORD_TYPE = RecordType.BAR #loader supports only BAR type (no cbars)
+
+#Load env variables
+ENV_FILE = find_dotenv(__file__)
+print(ENV_FILE)
+if load_dotenv(ENV_FILE, verbose=True) is False:
+    print(f"Error loading.env file {ENV_FILE}. Now depending on ENV VARIABLES set externally.")
+else:
+    print(f"Loaded env variables from file {ENV_FILE}")
+
+#Alpaca accounts
+ACCOUNT1_LIVE_API_KEY = os.getenv('ACCOUNT1_LIVE_API_KEY')
+ACCOUNT1_LIVE_SECRET_KEY = os.getenv('ACCOUNT1_LIVE_SECRET_KEY')
+ACCOUNT1_PAPER_API_KEY = os.getenv('ACCOUNT1_PAPER_API_KEY')
+ACCOUNT1_PAPER_SECRET_KEY = os.getenv('ACCOUNT1_PAPER_SECRET_KEY')

ttools/loaders.py

@@ -0,0 +1,56 @@
+
+from ctypes import Union
+from dotenv import load_dotenv
+from appdirs import user_data_dir
+from ttools.utils import find_dotenv
+from ttools.config import *
+import os
+from datetime import datetime
+
+print(DATA_DIR)
+
+def load_data(symbol: Union[str, list], day_start: datetime, day_end: datetime, agg_type: AGG_TYPE, resolution: Union[str, int], excludes: list = EXCLUDE_CONDITIONS, minsize: int = MINSIZE, ext_hours: bool = False, align: StartBarAlign =StartBarAlign.ROUND, as_df: bool = False, force_reload: bool = False) -> None:
+    """
+    Returns requested aggregated data for give symbol(s)
+    - if requested agg data already exists in cache, returns it
+    - otherwise get the trades (from trade cache or Alpaca) and aggregate them and store to cache
+    
+    For location of both caches, see config.py
+
+    Note both trades and agg cache are daily_files
+
+    LOCAL_TRADE_CACHE
+    LOCAL_AGG_CACHE
+
+    Parameters
+    ----------
+    symbol : Union[str, list]
+        Symbol or list of symbols
+    day_start : datetime
+        Start date, zone aware
+    day_end : datetime
+        End date, zone aware
+    agg_type : AGG_TYPE
+        Type of aggregation
+    resolution : Union[str, int]
+        Resolution of aggregation nased on agg_type 
+    excludes : list
+        List of trade conditions to exclude
+    minsize : int
+        Minimum size of trade to be included
+    ext_hours : bool
+        If True, requests extended hours data
+    align : StartBarAlign
+        How to align first bar RANDOM vs ROUND
+    as_df : bool
+        If True, returns dataframe, otherwise returns vbt Data object
+    force_reload : bool
+        If True, forces cache reload (doesnt use cache both for trade and agg data)
+
+    Returns
+    -------
+    DF or vbt.Data object
+    """
+    pass
+
+

ttools/utils.py

@@ -0,0 +1,140 @@
+from pathlib import Path
+from enum import Enum
+from datetime import datetime, timedelta
+from typing import List, Tuple
+import pytz
+import calendar
+
+#Zones
+zoneNY = pytz.timezone('US/Eastern')
+zoneUTC = pytz.utc
+zonePRG = pytz.timezone('Europe/Amsterdam')
+
+def split_range(start: datetime, stop: datetime, period: str = "Y") -> List[Tuple[datetime, datetime]]:
+    """
+    Splits a range of dates into a list of (start, end) tuples, where end is exclusive (start of next range)
+    
+    Args:
+        start (datetime): start date
+        stop (datetime): end date
+        period (str): 'Y', 'M', 'W', or 'D' for year, month, week, or day
+
+    
+    Returns:
+        List[Tuple[datetime, datetime]]: list of (start, end) tuples
+    
+    Example:
+
+    ```python
+    year_ranges = split_range(day_start, day_stop, period="M")
+    for start_date,end_date in year_ranges:
+        print(start_date,end_date)
+
+    >>> 2023-01-15 09:30:00-05:00 2023-02-01 00:00:00-05:00
+    >>> 2023-02-01 00:00:00-05:00 2023-03-01 00:00:00-05:00
+    >>> 2023-03-01 00:00:00-05:00 2023-04-01 00:00:00-05:00
+    >>> 2023-04-01 00:00:00-05:00 2023-05-01 00:00:00-05:00
+    >>> 2023-05-01 00:00:00-05:00 2023-06-01 00:00:00-05:00
+    ```
+    
+    """
+    if start > stop:
+        raise ValueError("Start date must be before stop date")
+    
+    ranges = []
+    current_start = start
+
+    while current_start < stop:
+        if period == "Y":
+            next_period_start = datetime(current_start.year + 1, 1, 1, tzinfo=current_start.tzinfo)
+        elif period == "M":
+            next_year = current_start.year + (current_start.month // 12)
+            next_month = (current_start.month % 12) + 1
+            next_period_start = datetime(next_year, next_month, 1, tzinfo=current_start.tzinfo)
+        elif period == "W":
+            next_period_start = current_start + timedelta(weeks=1)
+        elif period == "D":
+            next_period_start = current_start + timedelta(days=1)
+        else:
+            raise ValueError("Invalid period specified. Choose from 'Y', 'M', 'W', or 'D'.")
+
+        # Set the end of the current period or stop if within the same period
+        current_end = min(next_period_start, stop)
+        
+        # Append the (start, end) tuple to ranges
+        ranges.append((zoneNY.localize(current_start), zoneNY.localize(current_end)))
+        
+        # Move to the start of the next period
+        current_start = next_period_start
+    
+    return ranges
+
+
+
+def find_dotenv(start_path):
+    """
+    Searches for a .env file in the given directory or its parents and returns the path.
+
+    Args:
+        start_path: The directory to start searching from.
+
+    Returns:
+        Path to the .env file if found, otherwise None.
+    """
+    current_path = Path(start_path)
+    for _ in range(6):  # Limit search depth to 5 levels
+        dotenv_path = current_path / '.env'
+        if dotenv_path.exists():
+            return dotenv_path
+        current_path = current_path.parent
+    return None
+
+# def get_daily_tradecache_file():
+#     return Path(DATA_DIR) / "tradecache"
+
+# def get_daily_aggcache_file():
+#     #nazev obsahuje i child class
+#     #a take excludes result = ''.join(self.excludes.sort())
+#     self.excludes.sort()  # Sorts the list in place
+#     excludes_str = ''.join(map(str, self.excludes))  # Joins the sorted elements after converting them to strings
+#     cache_file = self.__class__.__name__ + '-' + self.symbol + '-' + str(int(date_from.timestamp())) + '-' + str(int(date_to.timestamp())) + '-' + str(self.rectype) + "-" + str(self.resolution) + "-" + str(self.minsize) + "-" + str(self.align) + '-' + str(self.mintick) + str(self.exthours) + excludes_str + '.cache.gz'
+#     file_path = DATA_DIR + "/aggcache/" + cache_file
+#     #print(file_path)
+#     return file_path
+
+
+#create enum AGG_TYPE
+class AGG_TYPE(str, Enum):
+    """
+    Enum class for aggregation types.
+    ohlcv - time based ohlcv (time as resolution)
+    ohlcv_vol - volume based ohlcv (volume as resolution)
+    ohlcv_dol - dollar volume based ohlcv (dollar amount as resolution)
+    ohlcv_renko - renko based ohlcv (brick size as resolution)
+    """
+    OHLCV = 'ohlcv'
+    OHLCV_VOL = 'ohlcv_vol'
+    OHLCV_DOL = 'ohlcv_dol'
+    OHLCV_RENKO = 'ohlcv_renko'
+
+class RecordType(str, Enum):
+    """
+    Represents output of aggregator
+    """
+
+    BAR = "bar"
+    CBAR = "cbar"
+    CBARVOLUME = "cbarvolume"
+    CBARDOLLAR = "cbardollar"
+    CBARRENKO = "cbarrenko"
+    TRADE = "trade"
+
+
+class StartBarAlign(str, Enum):
+    """
+    Represents first bar start time alignement according to timeframe
+        ROUND = bar starts at 0,5,10 (for 5s timeframe)
+        RANDOM = first bar starts when first trade occurs
+    """ 
+    ROUND = "round"
+    RANDOM = "random"