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run_backtest(): allow single-strategy algorithms= on the vector engine
Previously algorithms= (independent Algorithms, each with its own Tasks/hooks) was unconditionally rejected on the vector engine. Each Algorithm already gets its own portfolio, so multiple single-strategy Algorithms are functionally equivalent to strategies= for the vector engine and should be allowed. What genuinely isn't supported (and now raises a clearer, specific error) is: - an Algorithm that itself combines more than one strategy onto a single shared portfolio (same concern as the existing algorithm= check), and - an Algorithm with tasks/hooks registered, which the vector engine has no way to execute and would otherwise silently drop.
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Lines changed: 193 additions & 12 deletions

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‎investing_algorithm_framework/app/app.py‎

Lines changed: 46 additions & 12 deletions
Original file line numberDiff line numberDiff line change
@@ -1641,9 +1641,13 @@ def run_backtest(
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Raises:
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OperationalException: If study is missing, has no
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backtest_windows, or no strategy can be resolved. Also
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raised when ``algorithm=``/``algorithms=`` resolves to
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the vector engine (not supported), or when more than one
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of ``strategy=``/``strategies=``/``algorithm=``/
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raised when the vector engine is used with
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``algorithm=``/``algorithms=`` in a way it can't
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represent — more than one strategy combined onto a
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single shared portfolio, or an Algorithm with
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tasks/hooks registered (silently dropped by the vector
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engine otherwise) — or when more than one of
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``strategy=``/``strategies=``/``algorithm=``/
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``algorithms=`` is provided at once.
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"""
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_modes_given = sum(
@@ -1818,15 +1822,45 @@ def run_backtest(
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)
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if use_vector and independent_algorithms is not None:
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raise OperationalException(
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"algorithms= (independent Algorithms, each with its own "
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"Tasks/hooks) is only supported by the event-driven "
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"engine. Set study.engine=BacktestEngine.EVENT_DRIVEN, "
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"implement generate_signals(...) instead of "
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"generate_signal_series(...) on your strategies, or "
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"backtest each strategy independently via strategy=/"
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"strategies=."
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)
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# Each Algorithm gets its own portfolio (mirrors
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# strategies=), so multiple single-strategy Algorithms are
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# fine for the vector engine. What genuinely isn't
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# supported is (a) any one Algorithm internally combining
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# more than one strategy onto its own shared portfolio
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# (same concern as `algorithm=` above), and (b) any
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# Algorithm carrying tasks/hooks — the vector engine only
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# ever consumes the flattened strategy list, so those
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# would be silently dropped rather than executed.
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_multi_strategy_algorithms = [
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alg for alg in independent_algorithms
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if len(alg.strategies) > 1
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]
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_algorithms_with_extras = [
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alg for alg in independent_algorithms
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if alg.tasks or alg.on_strategy_run_hooks
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]
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if _multi_strategy_algorithms or _algorithms_with_extras:
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reasons = []
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if _multi_strategy_algorithms:
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reasons.append(
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"one or more Algorithms combine more than one "
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"strategy onto a single shared portfolio"
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)
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if _algorithms_with_extras:
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reasons.append(
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"one or more Algorithms have tasks/hooks "
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"registered, which the vector engine does not "
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"execute and would silently drop"
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)
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raise OperationalException(
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"algorithms= is only supported by the event-driven "
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"engine when " + " and ".join(reasons) + ". Set "
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"study.engine=BacktestEngine.EVENT_DRIVEN, implement "
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"generate_signals(...) instead of "
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"generate_signal_series(...) on your strategies, or "
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"backtest each strategy independently via strategy=/"
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"strategies=."
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)
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if use_vector:
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if not skip_data_sources_initialization:

‎tests/app/backtesting/test_run_backtest_independent_algorithms_vector.py‎

Lines changed: 147 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,147 @@
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"""Regression tests for `run_backtest(algorithms=...)` with the
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vector engine.
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Each `Algorithm` in `algorithms=` gets its own portfolio (mirrors
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`strategies=`), so multiple single-strategy Algorithms should be able
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to run on the vector engine just like plain `strategies=` would. What
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genuinely isn't supported is (a) an Algorithm that itself combines more
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than one strategy onto a shared portfolio, and (b) an Algorithm with
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tasks/hooks registered, since the vector engine only ever consumes the
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flattened strategy list and would silently drop those.
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"""
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import os
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from datetime import timezone, datetime
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from pathlib import Path
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from typing import Dict, Any
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from unittest import TestCase
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from uuid import uuid4
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from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
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TradingStrategy, Algorithm, BacktestDateRange, Schedule, TimeUnit, \
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Study, Universe, BacktestWindow, BacktestEngine, Task, \
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OperationalException, CSVOHLCVDataProvider, DataSource, DataType
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CSV_FILENAME = "OHLCV_BTC-EUR_BITVAVO_2h_LONG_SHORT_CYCLE.csv"
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START = datetime(2020, 12, 20, 10, tzinfo=timezone.utc)
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END = datetime(2020, 12, 21, 6, tzinfo=timezone.utc)
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class VectorTestStrategy(TradingStrategy):
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schedule = Schedule.every(2, TimeUnit.HOUR)
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market = "BITVAVO"
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symbols = ["BTC"]
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def __init__(self, algorithm_id):
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super().__init__(
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algorithm_id=algorithm_id,
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data_sources=[
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DataSource(
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identifier="BTC_EUR_OHLCV",
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data_type=DataType.OHLCV,
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time_frame="2h",
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market="BITVAVO",
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symbol="BTC/EUR",
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warmup_window=5,
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pandas=True,
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)
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],
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)
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def generate_signal_series(self, data: Dict[str, Any]):
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return iter(())
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class NoOpTask(Task):
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schedule = Schedule.every(1, TimeUnit.MINUTE)
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def run(self, algorithm):
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pass
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class TestIndependentAlgorithmsVectorEngine(TestCase):
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def setUp(self) -> None:
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self.resource_dir = os.path.join(
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os.path.dirname(os.path.dirname(os.path.dirname(__file__))),
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"resources"
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)
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def _app(self):
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app = create_app(
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name=f"VectorIndependentAlgorithms{uuid4().hex}",
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config={RESOURCE_DIRECTORY: self.resource_dir},
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)
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app.add_market(market="BITVAVO", trading_symbol="EUR")
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csv_path = Path(self.resource_dir) / "test_data" / "ohlcv" \
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/ CSV_FILENAME
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app.add_data_provider(
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data_provider=CSVOHLCVDataProvider(
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storage_path=str(csv_path),
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symbol="BTC/EUR",
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time_frame="2h",
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market="BITVAVO",
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warmup_window=5,
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),
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priority=1,
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)
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return app
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def _study(self):
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return Study(
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universe=Universe(market="BITVAVO", trading_symbol="EUR"),
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initial_capital=1000,
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risk_free_rate=0.027,
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backtest_windows=[
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BacktestWindow(
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train_range=BacktestDateRange(
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start_date=START, end_date=END
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)
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)
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],
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engines=[BacktestEngine.VECTOR],
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)
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def test_single_strategy_algorithms_allowed_with_vector_engine(self):
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app = self._app()
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algorithm_one = Algorithm(
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algorithm_id="algo_one",
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strategy=VectorTestStrategy(algorithm_id="algo_one"),
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)
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algorithm_two = Algorithm(
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algorithm_id="algo_two",
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strategy=VectorTestStrategy(algorithm_id="algo_two"),
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)
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backtests = app.run_backtest(
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algorithms=[algorithm_one, algorithm_two], study=self._study()
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)
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self.assertEqual(2, len(backtests))
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def test_multi_strategy_algorithm_rejected_with_vector_engine(self):
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app = self._app()
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strategy_a = VectorTestStrategy(algorithm_id="algo_multi")
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strategy_a.strategy_id = "strategy_a"
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strategy_b = VectorTestStrategy(algorithm_id="algo_multi")
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strategy_b.strategy_id = "strategy_b"
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algorithm = Algorithm(
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algorithm_id="algo_multi",
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strategies=[strategy_a, strategy_b],
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)
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with self.assertRaises(OperationalException) as ctx:
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app.run_backtest(algorithms=[algorithm], study=self._study())
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self.assertIn("shared portfolio", str(ctx.exception))
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def test_algorithm_with_tasks_rejected_with_vector_engine(self):
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app = self._app()
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algorithm = Algorithm(
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algorithm_id="algo_tasks",
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strategy=VectorTestStrategy(algorithm_id="algo_tasks"),
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tasks=[NoOpTask],
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)
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with self.assertRaises(OperationalException) as ctx:
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app.run_backtest(algorithms=[algorithm], study=self._study())
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self.assertIn("tasks/hooks", str(ctx.exception))

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