Drift rebalancer 5

.gitignore

@@ -25,6 +25,7 @@ test_bot.py
 lumi_tradier
 lumiwealth_tradier
 ThetaTerminal.jar
+pytest.ini
 
 # Pypi deployment
 build

lumibot/data_sources/tradier_data.py

@@ -207,6 +207,8 @@ def get_historical_prices(
             # get twice as many days as we need to ensure we get enough bars
             tcal_start_date = end_date - (td * length * 2)
             trading_days = get_trading_days(market='NYSE', start_date=tcal_start_date, end_date=end_date)
+            # Filer out trading days when the market_open is after the end_date
+            trading_days = trading_days[trading_days['market_open'] < end_date]
             # Now, start_date is the length bars before the last trading day
             start_date = trading_days.index[-length]
 

lumibot/example_strategies/classic_60_40.py

@@ -1,12 +1,14 @@
 from datetime import datetime
 
+from lumibot.components.drift_rebalancer_logic import DriftType
+from lumibot.entities import Order
 from lumibot.credentials import IS_BACKTESTING
 from lumibot.example_strategies.drift_rebalancer import DriftRebalancer
 
 """
 Strategy Description
 
-This strategy demonstrates the DriftRebalancer by rebalancing to a classic 60% stocks, 40% bonds portfolio.
+This is an implementation of a classic 60% stocks, 40% bonds portfolio, that demonstration the DriftRebalancer strategy. 
 It rebalances a portfolio of assets to a target weight every time the asset drifts
 by a certain threshold. The strategy will sell the assets that has drifted the most and buy the
 assets that has drifted the least to bring the portfolio back to the target weights.
@@ -23,7 +25,14 @@
         parameters = {
             "market": "NYSE",
             "sleeptime": "1D",
-            "drift_threshold": "0.05",
+
+            # Pro tip: In live trading rebalance multiple times a day, more buys will be placed after the sells fill.
+            # This will make it really likely that you will complete the rebalance in a single day.
+            # "sleeptime": 60,
+
+            "drift_type": DriftType.RELATIVE,
+            "drift_threshold": "0.1",
+            "order_type": Order.OrderType.MARKET,
             "acceptable_slippage": "0.005",  # 50 BPS
             "fill_sleeptime": 15,
             "target_weights": {
@@ -44,11 +53,11 @@
             backtesting_end,
             benchmark_asset="SPY",
             parameters=parameters,
-            show_plot=False,
+            show_plot=True,
             show_tearsheet=False,
             save_tearsheet=False,
             show_indicators=False,
-            save_logfile=False,
+            save_logfile=True,
             # show_progress_bar=False,
             # quiet_logs=False
         )

tests/test_bars.py

@@ -228,7 +228,7 @@ def test_tradier_data_source_generates_simple_returns(self):
         assert len(prices.df) == self.length
 
         # This shows a bug. The index a datetime.date but should be a timestamp
-        # assert isinstance(prices.df.index[0], pd.Timestamp)
+        assert isinstance(prices.df.index[0], pd.Timestamp)
 
         # assert that the last row has a return value
         assert prices.df["return"].iloc[-1] is not None