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Polygon day fix #446

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Polygon day fix #446

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Canx
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@Canx Canx commented May 10, 2024 •
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This fixes day polygon backtesting.

Adds and optional timestep parameter to PolygonDataBacktesting datasource that can be "minute" (default) or "day".
This parameter also can be added to backtest Strategy method:

old style:

strategy.backtest(...,timestep="day")

new style:

data_source = PolygonDataBacktesting(..., timestep="day")

Canx and others added 30 commits May 3, 2024 13:13
@Canx
Fixed day polygon backtesting
54aa55a
@Canx
get timestep from data source if not available
31032c9
@Canx
Use get_timestep() instead of MIN_TIMESTEP
bce22b4
@Canx
timestep should be mandatory in get_historical_prices
1d75d65
@Canx
make timestep mandatory in _pull_source_symbol_bars
7313808
@Canx
Fail fast if timestep not specified in polygon data source
2ae2410
@Canx
Do not ask for timestep, minute is safer
9786405
@Canx
This must be a typo!
aee1c64
@Canx
Was not starting from the first date in 'day' timestep
b2674ad
@Canx
In 'day' timestep we need to add one more day
04c497e
@Canx
check correctly empty bars
cd6ccd6
@Canx
add case where timestep and self.timestep is 'day'
9be2df5
@Canx
remove UTC as is added by default and set to LUMIBOT_DEFAULT_PYTZ if …
95fdc8d 
…not in data
@Canx
Added data logs and changed UTC to LUMIBOT_DEFAULT_PYTZ on fetched po…
01ba540 
…lygon data
@Canx
Was breaking things
5483aa7
@Canx
Added full backtesting tests with fixtures
9688d7d
@Canx
Removed comments
bb82868
@Canx
populate avg_fill_price
cd63579
@grzesir @Canx
orders can have zero or negative values
38b71e2
@grzesir @Canx
deploy 3.4.0
6a0fc1e
@minfawang @Canx
fix empty tearsheet_file for trader.run_all
64f519a
@Canx
generate test data with decimals
5509f6a
@Canx
Raise exception if data generation for options is asked
b004cf2
@Canx
Reduce test length and exception message
2f3d836
@Canx
better TestStrategy class
e94b874
@Canx
Improved tests
511adb4
@Canx
added is_holiday and no special case for day timestep for waiting mar…
b20f7df 
…ket to open
@Canx
Make sure timestep is correct
c5ffaaf
@Canx
is_holiday should be implemented by all brokers
86a5572
@Canx
No need for special case, added complexity having different timesteps
0e4a9d6
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@jimwhite jimwhite jimwhite left review comments

@korbit-ai korbit-ai[bot] korbit-ai left review comments

@grzesir grzesir Awaiting requested review from grzesir grzesir is a code owner

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4 participants
@Canx @jimwhite @grzesir @minfawang