Adding order.get_filled_price() and enabling coverage to report pytes…

…t unittest coverage.

lumibot/entities/order.py

@@ -471,6 +471,24 @@ def cash_pending(self, strategy):
         else:
             return -cash_value
 
+    def get_filled_price(self) -> float:
+        """
+        Get the weighted average filled price for this order. Option contracts often encounter partial fills,
+        so the weighted average is the only valid price that can be used for PnL calculations.
+
+        Returns
+        -------
+        float
+            The weighted average filled price for this order. 0.0 will be returned if the order
+            has not yet been filled.
+        """
+        # Only calculate on filled orders
+        if not self.transactions or not self.position_filled:
+            return 0.0
+
+        # calculate the weighted average filled price since options often encounter partial fills
+        return round(sum([x.price * x.quantity for x in self.transactions]) / self.quantity, 2)
+
     def update_status(self, status):
         self.status = status
 

lumibot/entities/trading_fee.py

@@ -2,41 +2,43 @@
 
 
 class TradingFee:
-    """TradingFee class. Used to define the trading fees for a broker in a strategy/backtesting.
+    """TradingFee class. Used to define the trading fees for a broker in a strategy/backtesting."""
 
-    Parameters
-    ----------
-    flat_fee : Decimal, float, or None
-        Flat fee to pay for each order. This is a fixed fee that is paid for each order in the quote currency.
-    percentage_fee : Decimal, float, or None
-        Percentage fee to pay for each order. This is a percentage of the order value that is paid for each order in the quote currency.
-    maker : bool
-        Whether this fee is a maker fee (applies to limit orders).
-        Default is True, which means that this fee will be used on limit orders.
-    taker : bool
-        Whether this fee is a taker fee (applies to market orders).
-        Default is True, which means that this fee will be used on market orders.
+    def __init__(self, flat_fee=0.0, percent_fee=0.0, maker=True, taker=True):
+        """
+        Parameters
+        ----------
+        flat_fee : Decimal, float, or None
+            Flat fee to pay for each order. This is a fixed fee that is paid for each order in the quote currency.
+        percent_fee : Decimal, float, or None
+            Percentage fee to pay for each order. This is a percentage of the order value that is paid for each order in the quote currency.
+        maker : bool
+            Whether this fee is a maker fee (applies to limit orders).
+            Default is True, which means that this fee will be used on limit orders.
+        taker : bool
+            Whether this fee is a taker fee (applies to market orders).
+            Default is True, which means that this fee will be used on market orders.
 
-    Example
-    --------
-    >>> trading_fee_1 = TradingFee(flat_fee=5) # $5 flat fee
-    >>> trading_fee_2 = TradingFee(percent_fee=0.01) # 1% fee
-    >>> backtesting_start = datetime(2022, 1, 1)
-    >>> backtesting_end = datetime(2022, 6, 1)
-    >>> result = MyStrategy.backtest(
-    >>>     YahooDataBacktesting,
-    >>>     backtesting_start,
-    >>>     backtesting_end,
-    >>>     buy_trading_fees=[trading_fee_1, trading_fee_2],
-    >>> )
-    """
-
-    flat_fee: Decimal = 0
-    percent_fee: Decimal = 0
-    maker: bool = False
-    taker: bool = False
-
-    def __init__(self, flat_fee=0, percent_fee=0, maker=True, taker=True):
+        Example
+        --------
+        >>> from datetime import datetime
+        >>> from lumibot.entities import TradingFee
+        >>> from lumibot.strategies import Strategy
+        >>> from lumibot.backtesting import YahooDataBacktesting
+        >>> class MyStrategy(Strategy):
+        >>>     pass
+        >>>
+        >>> trading_fee_1 = TradingFee(flat_fee=5.2) # $5.20 flat fee
+        >>> trading_fee_2 = TradingFee(percent_fee=0.01) # 1% fee
+        >>> backtesting_start = datetime(2022, 1, 1)
+        >>> backtesting_end = datetime(2022, 6, 1)
+        >>> result = MyStrategy.backtest(
+        >>>     YahooDataBacktesting,
+        >>>     backtesting_start,
+        >>>     backtesting_end,
+        >>>     buy_trading_fees=[trading_fee_1, trading_fee_2],
+        >>> )
+        """
         self.flat_fee = Decimal(flat_fee)
         self.percent_fee = Decimal(percent_fee)
         self.maker = maker

requirements.txt

@@ -0,0 +1,37 @@
+# Additional items here based on your project needs.
+# How this is different from setup.py is ... complicated.
+#    StackOverflow Answer: https://stackoverflow.com/a/33685899
+#
+# The short version is that setup.py is for installing the package
+# and requirements.txt is for installing the dependencies and that these are
+# meant for different audiences. So we duplicate the lists of modules :(
+#
+# More Long Answer:
+#   https://towardsdatascience.com/requirements-vs-setuptools-python-ae3ee66e28af
+
+### ----- Requirements for the package ----- ###
+polygon==1.1.0
+alpaca_trade_api==2.3.0
+alpha_vantage
+ibapi==9.81.1.post1
+yfinance>=0.2.18
+matplotlib>=3.3.3
+quandl
+pandas>=1.4.0<2.0.0  # pandas v2 currently causing issues with quant stats (v0.0.59)
+pandas_datareader
+pandas_market_calendars>=4.1.2
+plotly
+flask-socketio
+flask-sqlalchemy
+flask-marshmallow
+marshmallow-sqlalchemy
+flask-security
+email_validator
+bcrypt
+pytest
+scipy
+quantstats==0.0.59
+ccxt==3.0.61
+termcolor
+jsonpickle
+apscheduler==3.10.1

requirements_dev.txt

@@ -0,0 +1,15 @@
+# Include the main project requirements
+-r requirements.txt
+
+# Unit Test modules
+pytest
+pytest-mock
+coverage
+
+# Linting modules
+flake8
+isort
+
+# Security checkers
+bandit
+safety

setup.cfg

@@ -29,3 +29,51 @@ filterwarnings =
 
 testpaths = tests
 norecursedirs = docs .* *.egg* appdir jupyter *pycache* venv* .cache* .coverage* .git data docs docsrc
+
+# .coveragerc to control coverag.py
+[coverage:run]
+command_line = -m pytest -vv
+branch = True
+omit =
+	# * so you can get all dirs
+	*__init__.py
+
+	# Dirs to ignore
+	tests/*
+	venv*
+	.cache/
+	.git/
+	.cache-directory
+	.pytest*
+	docs/
+	data/
+	docsrc/
+	example*
+	cache*
+
+[coverage:report]
+# Regexs for lines to exclude from consideration
+exclude_lines =
+	# Have to re-enable the standard pragma
+	pragma: no coverag
+
+	# Don't complain about missing debug-only code
+	def __repr__
+	if self\.debug-only
+
+	# Don't complain if tests don't hit defensive assertion code:
+	raise AssertionError
+	raise NotImplementedError
+
+	# Don't complain if non-runable code isn't run
+	if 0:
+	if __name__ == __main__:
+
+precision = 2
+ignore_errors = True
+show_missing = True
+# Add this back in when coverage is at an acceptable level
+# fail_under = 98
+
+[coverage:html]
+directory = .coverage.html_report

tests/test_alpaca.py

@@ -5,7 +5,7 @@
 import pytest
 from pandas import Timestamp
 
-from credentials import ALPACA_CONFIG
+# from credentials import ALPACA_CONFIG  # Put back in when ready to test
 from lumibot.brokers.alpaca import Alpaca
 from lumibot.entities.asset import Asset
 from lumibot.entities.bars import Bars

tests/test_ccxt.py

@@ -1,7 +1,7 @@
 from decimal import Decimal
 
 import pytest
-from credentials import BINANCE_CONFIG
+# from credentials import BINANCE_CONFIG  # Put back in when ready to test
 
 from lumibot.brokers.ccxt import Ccxt
 from lumibot.entities.asset import Asset

tests/test_order.py

@@ -21,3 +21,27 @@ def test_is_option(self):
         asset = Asset("SPY", asset_type="option")
         order = Order(asset=asset, quantity=10, side="buy", strategy='abc')
         assert order.is_option()
+
+    def test_get_filled_price(self):
+        asset = Asset("SPY")
+        buy_order = Order(strategy='abc', asset=asset, side="buy", quantity=100)
+        buy_order.transactions = [
+            Order.Transaction(quantity=50, price=20.0),
+            Order.Transaction(quantity=50, price=30.0)
+        ]
+
+        # Order not yet filled
+        assert buy_order.get_filled_price() == 0
+
+        # Order filled
+        buy_order.position_filled = True
+        assert buy_order.get_filled_price() == 25.0
+
+        # Ensure Weighted Average used
+        sell_order = Order(strategy='abc', asset=asset, side="sell", quantity=100)
+        sell_order.transactions = [
+            Order.Transaction(quantity=80, price=30.0),
+            Order.Transaction(quantity=20, price=40.0)
+        ]
+        sell_order.position_filled = True
+        assert sell_order.get_filled_price() == 32.0

tests/test_tradingfee.py

@@ -0,0 +1,7 @@
+from lumibot.entities import TradingFee
+
+
+class TestTradingFee:
+    def test_init(self):
+        fee = TradingFee(flat_fee=5.2)
+        assert fee.flat_fee == 5.2