Rename some classes:

Order -> SimpleOrder
OrderBase -> Order
Asset -> OHLCAsset
AssetBase -> Asset

.gitignore

@@ -104,6 +104,7 @@ celerybeat.pid
 # Environments
 .env
 .venv
+.venv.*
 env/
 venv/
 ENV/

README.md

@@ -25,7 +25,7 @@ Below is an example usage (the performance of the example strategy won't be good
 ```python
 import pandas as pd
 
-from yabte.backtest import Strategy, StrategyRunner, Order, Book
+from yabte.backtest import Strategy, StrategyRunner, SimpleOrder, Book
 from yabte.utilities.plot.plotly.strategy_runner import plot_strategy_runner
 from yabte.utilities.strategy_helpers import crossover
 from yabte.tests._helpers import generate_nasdaq_dataset
@@ -64,9 +64,9 @@ class SMAXO(Strategy):
             data = df.loc[ix_2d, ("CloseSMAShort", "CloseSMALong")].dropna()
             if len(data) == 2:
                 if crossover(data.CloseSMAShort, data.CloseSMALong):
-                    self.orders.append(Order(asset_name=symbol, size=-100))
+                    self.orders.append(SimpleOrder(asset_name=symbol, size=-100))
                 elif crossover(data.CloseSMALong, data.CloseSMAShort):
-                    self.orders.append(Order(asset_name=symbol, size=100))
+                    self.orders.append(SimpleOrder(asset_name=symbol, size=100))
 
 
 # load some data

docs/index.rst

@@ -28,7 +28,7 @@ A typical strategy looks as follows:
 
 .. code-block:: python
 
-   from yabte.backtest import Strategy, StrategyRunner, Order, Book, Asset
+   from yabte.backtest import Strategy, StrategyRunner, SimpleOrder, Book, OHLCAsset
    from yabte.utilities.strategy_helpers import crossover
 
    # All strategies inherit from the Strategy base class.
@@ -80,19 +80,19 @@ A typical strategy looks as follows:
                      # executed the next day. There are different types
                      # of order, e.g. positional and basket and some orders
                      # support hooks for running arbitrary checks for limits etc.
-                     self.orders.append(Order(asset_name=symbol, size=-100))
+                     self.orders.append(SimpleOrder(asset_name=symbol, size=-100))
                   elif crossover(data.CloseSMALong, data.CloseSMAShort):
-                     self.orders.append(Order(asset_name=symbol, size=100))
+                     self.orders.append(SimpleOrder(asset_name=symbol, size=100))
 
 
 To run our strategy, we use a StrategyRunner:
 
 .. code-block:: python
 
-   # The Asset class is any pricable object with accompanying High, Low, Close,
-   # Open & Volume field data. One can subclass Asset to support different field
+   # The OHLCAsset class is any pricable object with accompanying High, Low, Close,
+   # Open & Volume field data. One can subclass OHLCAsset to support different field
    # types, e.g. Volatility.
-   assets = [Asset(name="GOOG", denom="USD"), Asset(name="MSFT", denom="USD")]
+   assets = [OHLCAsset(name="GOOG", denom="USD"), OHLCAsset(name="MSFT", denom="USD")]
 
    sr = StrategyRunner(
       # Data is provided as a pandas dataframe with two level

docs/yabte.backtest.rst

@@ -9,7 +9,7 @@ Strategy
       :members:
       :member-order: bysource
 
-Order
+SimpleOrder
 -----
    .. autoclass:: yabte.backtest.order.OrderStatus
       :members:
@@ -39,7 +39,7 @@ Book
       :members:
       :member-order: bysource
 
-Asset
+OHLCAsset
 -----
 
    .. automodule:: yabte.backtest.asset

notebooks/Readme_Example.ipynb

@@ -21706,10 +21706,10 @@
    "source": [
     "import pandas as pd\n",
     "\n",
-    "from yabte.backtest import Strategy, StrategyRunner, Order, Book\n",
+    "from yabte.backtest import Book, SimpleOrder, Strategy, StrategyRunner\n",
+    "from yabte.tests._helpers import generate_nasdaq_dataset\n",
     "from yabte.utilities.plot.plotly.strategy_runner import plot_strategy_runner\n",
     "from yabte.utilities.strategy_helpers import crossover\n",
-    "from yabte.tests._helpers import generate_nasdaq_dataset\n",
     "\n",
     "\n",
     "class SMAXO(Strategy):\n",
@@ -21745,9 +21745,9 @@
     "            data = df.loc[ix_2d, (\"CloseSMAShort\", \"CloseSMALong\")].dropna()\n",
     "            if len(data) == 2:\n",
     "                if crossover(data.CloseSMAShort, data.CloseSMALong):\n",
-    "                    self.orders.append(Order(asset_name=symbol, size=-100))\n",
+    "                    self.orders.append(SimpleOrder(asset_name=symbol, size=-100))\n",
     "                elif crossover(data.CloseSMALong, data.CloseSMAShort):\n",
-    "                    self.orders.append(Order(asset_name=symbol, size=100))\n",
+    "                    self.orders.append(SimpleOrder(asset_name=symbol, size=100))\n",
     "\n",
     "\n",
     "# load some data\n",

yabte/backtest/__init__.py

@@ -4,32 +4,32 @@
     ADFI_AVAILABLE_AT_CLOSE,
     ADFI_AVAILABLE_AT_OPEN,
     ADFI_REQUIRED,
-    Asset,
     AssetDataFieldInfo,
     AssetName,
+    OHLCAsset,
 )
 from yabte.backtest.book import Book, BookMandate, BookName
 from yabte.backtest.order import (
     BasketOrder,
-    Order,
     OrderSizeType,
     OrderStatus,
     PositionalBasketOrder,
     PositionalOrder,
     PositionalOrderCheckType,
+    SimpleOrder,
 )
 from yabte.backtest.strategy import Strategy, StrategyRunner
 from yabte.backtest.transaction import CashTransaction, Trade
 
 __all__ = [
-    "Asset",
+    "OHLCAsset",
     "AssetDataFieldInfo",
     "AssetName",
     "Book",
     "BookName",
     "BookMandate",
     "CashTransaction",
-    "Order",
+    "SimpleOrder",
     "OrderSizeType",
     "OrderStatus",
     "BasketOrder",

yabte/backtest/asset.py

@@ -7,7 +7,7 @@
 import pandas as pd
 from mypy_extensions import mypyc_attr
 
-__all__ = ["Asset"]
+__all__ = ["OHLCAsset"]
 
 
 # use ints until mypyc supports IntFlag
@@ -25,7 +25,7 @@
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
-class AssetBase:
+class Asset:
     """Anything that has a price."""
 
     name: AssetName
@@ -97,7 +97,7 @@ def _filter_data(self, data: T) -> T:
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
-class Asset(AssetBase):
+class OHLCAsset(Asset):
     """Assets whose price history is represented by High, Low, Open, Close and Volume
     fields."""
 

yabte/backtest/order.py

@@ -16,7 +16,7 @@
 
 logger = logging.getLogger(__name__)
 
-__all__ = ["Order", "PositionalOrder", "BasketOrder", "PositionalBasketOrder"]
+__all__ = ["SimpleOrder", "PositionalOrder", "BasketOrder", "PositionalBasketOrder"]
 
 
 class OrderStatus(Enum):
@@ -53,7 +53,7 @@ class OrderSizeType(Enum):
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
-class OrderBase:
+class Order:
     """Base class for all orders."""
 
     status: OrderStatus = OrderStatus.OPEN
@@ -62,7 +62,7 @@ class OrderBase:
     book: BookName | Book | None = field(repr=False, default=None)
     """Target book."""
 
-    suborders: List[OrderBase] = field(default_factory=list)
+    suborders: List[Order] = field(default_factory=list)
     """Additional orders to be executed the following timestep."""
 
     label: Optional[str] = None
@@ -106,7 +106,7 @@ def apply(self, ts: pd.Timestamp, day_data: pd.Series, asset_map: Dict[str, Asse
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
-class Order(OrderBase):
+class SimpleOrder(Order):
     """Simple market order."""
 
     asset_name: AssetName
@@ -189,7 +189,7 @@ class PositionalOrderCheckType(Enum):
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
-class PositionalOrder(Order):
+class PositionalOrder(SimpleOrder):
     """Ensures current position is `size` and will close out existing positions to
     achieve this."""
 
@@ -249,7 +249,7 @@ def apply(self, ts: pd.Timestamp, day_data: pd.Series, asset_map: Dict[str, Asse
 
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass
-class BasketOrder(OrderBase):
+class BasketOrder(Order):
     """Combine multiple assets into a single order."""
 
     asset_names: List[AssetName]

yabte/backtest/strategy.py

@@ -14,7 +14,7 @@
 
 from .asset import ADFI_AVAILABLE_AT_OPEN, Asset, AssetName
 from .book import Book, BookMandate, BookName
-from .order import Order, OrderBase, OrderStatus
+from .order import Order, OrderStatus
 
 logger = logging.getLogger(__name__)
 
@@ -34,10 +34,10 @@ def __iter__(self):
     def popleft(self):
         return self.deque.popleft()
 
-    def append(self, order: OrderBase):
+    def append(self, order: Order):
         return self.deque.append(order)
 
-    def extend(self, orders: Iterable[OrderBase]):
+    def extend(self, orders: Iterable[Order]):
         return self.deque.extend(orders)
 
     def sort_by_priority(self):
@@ -46,7 +46,7 @@ def sort_by_priority(self):
         self.deque.clear()
         self.deque.extend(ou_sorted)
 
-    def remove_duplicate_keys(self) -> List[OrderBase]:
+    def remove_duplicate_keys(self) -> List[Order]:
         """Remove older orders with same key.
 
         Returns a list of orders than were removed with status set to REPLACED.

yabte/tests/_helpers.py

@@ -2,7 +2,7 @@
 
 import pandas as pd
 
-from yabte.backtest.asset import Asset
+from yabte.backtest.asset import OHLCAsset
 
 data_dir = Path(__file__).parent / "data"
 notebooks_dir = Path(__file__).parents[2] / "notebooks"
@@ -13,7 +13,7 @@ def generate_nasdaq_dataset():
     dfs = []
     for csv_pth in (data_dir / "nasdaq").glob("*.csv"):
         name = csv_pth.stem
-        assets.append(Asset(name=name, denom="USD"))
+        assets.append(OHLCAsset(name=name, denom="USD"))
         df = pd.read_csv(csv_pth, index_col=0, parse_dates=[0])
         df.columns = pd.MultiIndex.from_tuples([(name, f) for f in df.columns])
         dfs.append(df)

yabte/tests/test_notebooks.py

@@ -20,4 +20,7 @@ def test_notebooks_smoke(self):
                     with nb.open() as f:
                         nb = nbformat.read(f, as_version=4)
                         # will raise exception if issue, eg missing module
-                        ep.preprocess(nb, {"metadata": {"path": str(notebooks_dir)}})
+                        nb_node, resources = ep.preprocess(
+                            nb, {"metadata": {"path": str(notebooks_dir)}}
+                        )
+                        foo = 1

yabte/tests/test_simulation.py

@@ -28,6 +28,7 @@ def _gbm_recover_weiner(T, N, M, r, p, sigma):
 class SimulationTestCase(NumpyTestCase):
     def setUp(self):
         self.rng = np.random.default_rng(12345)
+        super().setUp()
 
     def test_weiner_simple(self):
         R = [[1, 0.9], [0.9, 1]]