chore: files for mlflow and db

airflow/dags/fetch_stock_data.py

@@ -46,12 +46,25 @@ def fetch_and_store_stock_data():
     for index, row in stocks_df.iterrows():
         ticker = row['symbol']
         try:
+            print(f"Fetching data for {ticker}")
             data: pd.DataFrame = yf.download(ticker, start='2023-01-01', end=datetime.today().strftime('%Y-%m-%d'))
-            data['symbol'] = ticker
-            data.reset_index(inplace=True)
-            data.index.name = 'id'
-            data.rename(columns={'Date': 'date', 'Open': 'open', 'High': 'high', 'Low': 'low', 'Close': 'close', 'Adj Close': 'adj_close', 'Volume': 'volume'}, inplace=True)
-            data.to_sql('stock_data', engine, if_exists='append')
+            if not data.empty:
+                data['symbol'] = ticker
+                data.reset_index(inplace=True)
+                data.rename(columns={
+                    'Date': 'date', 
+                    'Open': 'open', 
+                    'High': 'high', 
+                    'Low': 'low', 
+                    'Close': 'close', 
+                    'Adj Close': 'adj_close', 
+                    'Volume': 'volume'
+                }, inplace=True)
+                # Ensure we don't overwrite by specifying the index as False
+                data.to_sql('stock_data', engine, if_exists='append', index=False)
+                print(f"Successfully stored data for {ticker}")
+            else:
+                print(f"No data found for {ticker}")
         except Exception as e:
             print(f"Error fetching data for {ticker}: {e}")
 

airflow/logs/scheduler/latest

@@ -1 +1 @@
-2024-06-27
+2024-06-28

alembic.ini

@@ -0,0 +1,117 @@
+# A generic, single database configuration.
+
+[alembic]
+# path to migration scripts
+# Use forward slashes (/) also on windows to provide an os agnostic path
+script_location = alembic
+
+# template used to generate migration file names; The default value is %%(rev)s_%%(slug)s
+# Uncomment the line below if you want the files to be prepended with date and time
+# see https://alembic.sqlalchemy.org/en/latest/tutorial.html#editing-the-ini-file
+# for all available tokens
+# file_template = %%(year)d_%%(month).2d_%%(day).2d_%%(hour).2d%%(minute).2d-%%(rev)s_%%(slug)s
+
+# sys.path path, will be prepended to sys.path if present.
+# defaults to the current working directory.
+prepend_sys_path = .
+
+# timezone to use when rendering the date within the migration file
+# as well as the filename.
+# If specified, requires the python>=3.9 or backports.zoneinfo library.
+# Any required deps can installed by adding `alembic[tz]` to the pip requirements
+# string value is passed to ZoneInfo()
+# leave blank for localtime
+# timezone =
+
+# max length of characters to apply to the "slug" field
+# truncate_slug_length = 40
+
+# set to 'true' to run the environment during
+# the 'revision' command, regardless of autogenerate
+# revision_environment = false
+
+# set to 'true' to allow .pyc and .pyo files without
+# a source .py file to be detected as revisions in the
+# versions/ directory
+# sourceless = false
+
+# version location specification; This defaults
+# to alembic/versions.  When using multiple version
+# directories, initial revisions must be specified with --version-path.
+# The path separator used here should be the separator specified by "version_path_separator" below.
+# version_locations = %(here)s/bar:%(here)s/bat:alembic/versions
+
+# version path separator; As mentioned above, this is the character used to split
+# version_locations. The default within new alembic.ini files is "os", which uses os.pathsep.
+# If this key is omitted entirely, it falls back to the legacy behavior of splitting on spaces and/or commas.
+# Valid values for version_path_separator are:
+#
+# version_path_separator = :
+# version_path_separator = ;
+# version_path_separator = space
+version_path_separator = os  # Use os.pathsep. Default configuration used for new projects.
+
+# set to 'true' to search source files recursively
+# in each "version_locations" directory
+# new in Alembic version 1.10
+# recursive_version_locations = false
+
+# the output encoding used when revision files
+# are written from script.py.mako
+# output_encoding = utf-8
+
+sqlalchemy.url = postgresql+psycopg2://trading_db_av2v_user:210M6MA9QKEEgVdiasnUdMQDBNN417oy@dpg-cpqojbqj1k6c73bkqq3g-a.oregon-postgres.render.com/trading_db_av2v
+
+
+
+[post_write_hooks]
+# post_write_hooks defines scripts or Python functions that are run
+# on newly generated revision scripts.  See the documentation for further
+# detail and examples
+
+# format using "black" - use the console_scripts runner, against the "black" entrypoint
+# hooks = black
+# black.type = console_scripts
+# black.entrypoint = black
+# black.options = -l 79 REVISION_SCRIPT_FILENAME
+
+# lint with attempts to fix using "ruff" - use the exec runner, execute a binary
+# hooks = ruff
+# ruff.type = exec
+# ruff.executable = %(here)s/.venv/bin/ruff
+# ruff.options = --fix REVISION_SCRIPT_FILENAME
+
+# Logging configuration
+[loggers]
+keys = root,sqlalchemy,alembic
+
+[handlers]
+keys = console
+
+[formatters]
+keys = generic
+
+[logger_root]
+level = WARN
+handlers = console
+qualname =
+
+[logger_sqlalchemy]
+level = WARN
+handlers =
+qualname = sqlalchemy.engine
+
+[logger_alembic]
+level = INFO
+handlers =
+qualname = alembic
+
+[handler_console]
+class = StreamHandler
+args = (sys.stderr,)
+level = NOTSET
+formatter = generic
+
+[formatter_generic]
+format = %(levelname)-5.5s [%(name)s] %(message)s
+datefmt = %H:%M:%S

alembic/README

@@ -0,0 +1 @@
+Generic single-database configuration.

alembic/env.py

@@ -11,62 +11,52 @@
 
 # Interpret the config file for Python logging.
 # This line sets up loggers basically.
-if config.config_file_name is not None:
-    fileConfig(config.config_file_name)
+fileConfig(config.config_file_name)
 
 # add your model's MetaData object here
 # for 'autogenerate' support
 # from myapp import mymodel
 # target_metadata = mymodel.Base.metadata
-target_metadata = None
+from backend.models import Base  # Import your Base
+target_metadata = Base.metadata
 
 # other values from the config, defined by the needs of env.py,
 # can be acquired:
 # my_important_option = config.get_main_option("my_important_option")
 # ... etc.
 
 
-def run_migrations_offline() -> None:
+def run_migrations_offline():
     """Run migrations in 'offline' mode.
-
     This configures the context with just a URL
     and not an Engine, though an Engine is acceptable
     here as well.  By skipping the Engine creation
     we don't even need a DBAPI to be available.
-
     Calls to context.execute() here emit the given string to the
     script output.
-
     """
     url = config.get_main_option("sqlalchemy.url")
     context.configure(
-        url=url,
-        target_metadata=target_metadata,
-        literal_binds=True,
-        dialect_opts={"paramstyle": "named"},
+        url=url, target_metadata=target_metadata, literal_binds=True
     )
 
     with context.begin_transaction():
         context.run_migrations()
 
 
-def run_migrations_online() -> None:
+def run_migrations_online():
     """Run migrations in 'online' mode.
-
     In this scenario we need to create an Engine
     and associate a connection with the context.
-
     """
     connectable = engine_from_config(
-        config.get_section(config.config_ini_section, {}),
+        config.get_section(config.config_ini_section),
         prefix="sqlalchemy.",
         poolclass=pool.NullPool,
     )
 
     with connectable.connect() as connection:
-        context.configure(
-            connection=connection, target_metadata=target_metadata
-        )
+        context.configure(connection=connection, target_metadata=target_metadata)
 
         with context.begin_transaction():
             context.run_migrations()

alembic/script.py.mako

@@ -0,0 +1,26 @@
+"""${message}
+
+Revision ID: ${up_revision}
+Revises: ${down_revision | comma,n}
+Create Date: ${create_date}
+
+"""
+from typing import Sequence, Union
+
+from alembic import op
+import sqlalchemy as sa
+${imports if imports else ""}
+
+# revision identifiers, used by Alembic.
+revision: str = ${repr(up_revision)}
+down_revision: Union[str, None] = ${repr(down_revision)}
+branch_labels: Union[str, Sequence[str], None] = ${repr(branch_labels)}
+depends_on: Union[str, Sequence[str], None] = ${repr(depends_on)}
+
+
+def upgrade() -> None:
+    ${upgrades if upgrades else "pass"}
+
+
+def downgrade() -> None:
+    ${downgrades if downgrades else "pass"}

backend/main.py

@@ -94,9 +94,7 @@ def create_scene(scene: schemas.SceneCreate, db: Session = Depends(get_db)):
         scene_parameters = {
             'scene_id': db_scene.id,
             'period': db_scene.period,
-            'initial_cash': 500,
-            'indicator_name': db_scene.indicator.name,
-            'indicator': db_scene.indicator.symbol,
+            'initial_cash': 500,\
             'stock_name': db_scene.stock.name,
             'ticker': db_scene.stock.symbol,
             'start_date': db_scene.start_date.strftime('%Y-%m-%d'),
@@ -114,7 +112,7 @@ def create_scene(scene: schemas.SceneCreate, db: Session = Depends(get_db)):
         existing_scene = db.query(models.Scene).filter(
             models.Scene.start_date == scene.start_date,
             models.Scene.end_date == scene.end_date,
-            models.Scene.indicator_id == scene.indicator_id
+            models.Scene.stock_id == scene.stock_id
         ).first()
         return existing_scene
 
@@ -129,7 +127,7 @@ def delete_scene(scene_id: int, db: Session = Depends(get_db)):
 
 @app.get('/scenes/{scene_id}', response_model=schemas.Scene)
 def read_scene(scene_id: int, db: Session = Depends(get_db)):
-    db_scene = db.query(models.Scene).options(joinedload(models.Scene.indicator), joinedload(models.Scene.stock)).filter(models.Scene.id == scene_id).first()
+    db_scene = db.query(models.Scene).options(joinedload(models.Scene.stock)).filter(models.Scene.id == scene_id).first()
     if db_scene is None:
         raise HTTPException(status_code=404, detail="Scene not found")
     return db_scene
@@ -142,18 +140,33 @@ def read_scenes(skip: int = 0, limit: int = 10, db: Session = Depends(get_db)):
             logger.info(f"Backtest Result: {backtest.__dict__}")
     return scenes
 
-@app.post('/backtests/{scene_id}', response_model=List[schemas.BacktestResult])
-def perform_backtest(scene_id: int, db: Session = Depends(get_db)):
+@app.get('/best_indicator/{scene_id}', response_model=schemas.BacktestResult)
+def get_best_indicator(scene_id: int, db: Session = Depends(get_db)):
+    db_scene = db.query(models.Scene).options(joinedload(models.Scene.backtests).joinedload(models.BacktestResult.indicator)).filter(models.Scene.id == scene_id).first()
+    if db_scene is None:
+        raise HTTPException(status_code=404, detail="Scene not found")
+
+    best_backtest = select_best_indicator([backtest.__dict__ for backtest in db_scene.backtests])
+
+    if best_backtest is None:
+        raise HTTPException(status_code=404, detail="No backtests found for the scene")
+
+    return best_backtest
+
+@app.post('/backtests/{scene_id}/{indicator_id}', response_model=List[schemas.BacktestResult])
+def perform_backtest(scene_id: int, indicator_id: int, db: Session = Depends(get_db)):
     db_scene = db.query(models.Scene).filter(models.Scene.id == scene_id).first()
     if db_scene is None:
         raise HTTPException(status_code=404, detail="Scene not found")
 
+    print("The Db Scene: ", db_scene.__dict__)
+    db_indicator = db.query(models.Indicator).filter(models.Indicator.id == indicator_id).first()
     config = {
         'initial_cash': 500,
         'start_date': db_scene.start_date.strftime('%Y-%m-%d'),
         'end_date': db_scene.end_date.strftime('%Y-%m-%d'),
         'ticker': db_scene.stock.symbol,
-        'indicator': db_scene.indicator.symbol
+        'indicator': db_indicator.symbol
     }
 
     logger.info(f"Config: {config}")
@@ -164,7 +177,7 @@ def perform_backtest(scene_id: int, db: Session = Depends(get_db)):
 
     # Save metrics to database
     backtest_results = []
-    db_backtest_result = models.BacktestResult(scene_id=scene_id, **metrics)
+    db_backtest_result = models.BacktestResult(scene_id=scene_id, **metrics, indicator_id=indicator_id)
     db.add(db_backtest_result)
     db.commit()
     db.refresh(db_backtest_result)
@@ -250,4 +263,30 @@ def consume_scene_parameters():
                 logger.info("Backtest results sent to Kafka")
         except Exception as e:
             logger.error(f"Error in consumer loop: {e}")
-            time.sleep(5)  # Sleep for a while before retrying
+            time.sleep(5)  # Sleep for a while before retrying
+
+def normalize(value, min_value, max_value):
+    return (value - min_value) / (max_value - min_value)
+
+def calculate_score(backtest):
+    # Normalize metrics (assuming higher return and Sharpe ratio are better, lower max drawdown is better)
+    normalized_return = normalize(backtest['percentage_return'], -1, 1)
+    # normalized_max_drawdown = normalize(-backtest['max_drawdown'], -1, 0)  # Negate since lower is better
+    normalized_sharpe_ratio = normalize(backtest['sharpe_ratio'], 0, 3)
+
+    score = (normalized_return * 0.4)  + (normalized_sharpe_ratio * 0.3)
+    # Combine normalized metrics into a single score (weights can be adjusted)
+    # score = (normalized_return * 0.4) + (normalized_max_drawdown * 0.3) + (normalized_sharpe_ratio * 0.3)
+    return score
+
+def select_best_indicator(backtests):
+    best_backtest = None
+    best_score = float('-inf')
+
+    for backtest in backtests:
+        score = calculate_score(backtest)
+        if score > best_score:
+            best_score = score
+            best_backtest = backtest
+
+    return best_backtest

backend/models.py

@@ -32,18 +32,15 @@ class Scene(Base):
     start_date = Column(Date, nullable=False)
     end_date = Column(Date, nullable=False)
     stock_id = Column(Integer, ForeignKey('stocks.id'))
-    indicator_id = Column(Integer, ForeignKey('indicators.id'))
     backtests = relationship('BacktestResult', back_populates='scene')
     stock = relationship('Stock')
-    indicator = relationship('Indicator')
 
-    __table_args__ = (UniqueConstraint('start_date', 'end_date', 'indicator_id', 'stock_id', name='_scene_uc'),)
+    __table_args__ = (UniqueConstraint('start_date', 'end_date', 'stock_id', name='_scene_uc'),)
 
 class BacktestResult(Base):
     __tablename__ = 'backtest_results'
     # __table_args__ = (UniqueConstraint('scene_id', 'indicator_id', 'stock_id', name='_backtest_uc'),)
     id = Column(Integer, primary_key=True, index=True)
-    scene_id = Column(Integer, ForeignKey('scenes.id'))
     initial_cash = Column(Float, nullable=False)
     final_value = Column(Float, nullable=False)
     percentage_return = Column(Float)
@@ -53,7 +50,10 @@ class BacktestResult(Base):
     losing_trades = Column(Integer)
     sharpe_ratio = Column(Float)
     created_at = Column(TIMESTAMP, server_default=text('CURRENT_TIMESTAMP'))
+    scene_id = Column(Integer, ForeignKey('scenes.id'))
+    indicator_id = Column(Integer, ForeignKey('indicators.id'))
     scene = relationship('Scene', back_populates='backtests')
+    indicator = relationship('Indicator')
 
 class StockData(Base):
     __tablename__ = "stock_data"