Merge branch 'master' into speed-improvements2

Author: ChadThackray

backtesting/__init__.py

@@ -67,12 +67,17 @@
 
 from . import lib  # noqa: F401
 from ._plotting import set_bokeh_output  # noqa: F401
+from ._util import try_
 from .backtesting import Backtest, Strategy  # noqa: F401
 
 
 # Add overridable backtesting.Pool used for parallel optimization
 def Pool(processes=None, initializer=None, initargs=()):
     import multiprocessing as mp
+    import sys
+    # Revert performance related change in Python>=3.14
+    if sys.platform.startswith('linux') and mp.get_start_method(allow_none=True) != 'fork':
+        try_(lambda: mp.set_start_method('fork'))
     if mp.get_start_method() == 'spawn':
         import warnings
         warnings.warn(

backtesting/_stats.py

@@ -108,7 +108,7 @@ def _round_timedelta(value, _period=_data_period(index)):
     ])
 
     have_position = np.repeat(0, len(index))
-    for t in trades_df.itertuples(index=False):
+    for t in trades_df[['EntryBar', 'ExitBar']].itertuples(index=False):
         have_position[t.EntryBar:t.ExitBar + 1] = 1
 
     exposure_time_pct = have_position.mean() * 100  # In "n bars" time, not index time

backtesting/backtesting.py

@@ -12,6 +12,7 @@
 import warnings
 from abc import ABCMeta, abstractmethod
 from copy import copy
+from difflib import get_close_matches
 from functools import cached_property, lru_cache, partial
 from itertools import chain, product, repeat
 from math import copysign
@@ -64,10 +65,12 @@ def __str__(self):
     def _check_params(self, params):
         for k, v in params.items():
             if not hasattr(self, k):
+                suggestions = get_close_matches(k, (attr for attr in dir(self) if not attr.startswith('_')))
+                hint = f" Did you mean: {', '.join(suggestions)}?" if suggestions else ""
                 raise AttributeError(
-                    f"Strategy '{self.__class__.__name__}' is missing parameter '{k}'."
+                    f"Strategy '{self.__class__.__name__}' is missing parameter '{k}'. "
                     "Strategy class should define parameters as class variables before they "
-                    "can be optimized or run with.")
+                    "can be optimized or run with." + hint)
             setattr(self, k, v)
         return params
 
@@ -309,7 +312,7 @@ def position(self) -> 'Position':
     @property
     def orders(self) -> 'Tuple[Order, ...]':
         """List of orders (see `Order`) waiting for execution."""
-        return _Orders(self._broker.orders)
+        return tuple(self._broker.orders)
 
     @property
     def trades(self) -> 'Tuple[Trade, ...]':
@@ -322,27 +325,6 @@ def closed_trades(self) -> 'Tuple[Trade, ...]':
         return tuple(self._broker.closed_trades)
 
 
-class _Orders(tuple):
-    """
-    TODO: remove this class. Only for deprecation.
-    """
-    def cancel(self):
-        """Cancel all non-contingent (i.e. SL/TP) orders."""
-        for order in self:
-            if not order.is_contingent:
-                order.cancel()
-
-    def __getattr__(self, item):
-        # TODO: Warn on deprecations from the previous version. Remove in the next.
-        removed_attrs = ('entry', 'set_entry', 'is_long', 'is_short',
-                         'sl', 'tp', 'set_sl', 'set_tp')
-        if item in removed_attrs:
-            raise AttributeError(f'Strategy.orders.{"/.".join(removed_attrs)} were removed in'
-                                 'Backtesting 0.2.0. '
-                                 'Use `Order` API instead. See docs.')
-        raise AttributeError(f"'tuple' object has no attribute {item!r}")
-
-
 class Position:
     """
     Currently held asset position, available as
@@ -998,8 +980,9 @@ def _process_orders(self):
                 # Not enough cash/margin even for a single unit
                 if not size:
                     warnings.warn(
-                        f'time={self._i}: Broker canceled the relative-sized '
-                        f'order due to insufficient margin.', category=UserWarning)
+                        f'time={self._i}: Broker canceled the relative-sized order due to insufficient margin '
+                        f'(equity={self.equity:.2f}, margin_available={self.margin_available:.2f}).',
+                        category=UserWarning)
                     # XXX: The order is canceled by the broker?
                     self.orders.remove(order)
                     continue
@@ -1032,6 +1015,10 @@ def _process_orders(self):
             # If we don't have enough liquidity to cover for the order, the broker CANCELS it
             if abs(need_size) * adjusted_price_plus_commission > \
                     self.margin_available * self._leverage:
+                warnings.warn(
+                    f'time={self._i}: Broker canceled the order due to insufficient margin '
+                    f'(equity={self.equity:.2f}, margin_available={self.margin_available:.2f}).',
+                    category=UserWarning)
                 self.orders.remove(order)
                 continue
 
@@ -1174,7 +1161,7 @@ class Backtest:
 
     `cash` is the initial cash to start with.
 
-    `spread` is the the constant bid-ask spread rate (relative to the price).
+    `spread` is the constant bid-ask spread rate (relative to the price).
     E.g. set it to `0.0002` for commission-less forex
     trading where the average spread is roughly 0.2‰ of the asking price.
 
@@ -1204,7 +1191,7 @@ class Backtest:
 
     `margin` is the required margin (ratio) of a leveraged account.
     No difference is made between initial and maintenance margins.
-    To run the backtest using e.g. 50:1 leverge that your broker allows,
+    To run the backtest using e.g. 50:1 leverage that your broker allows,
     set margin to `0.02` (1 / leverage).
 
     If `trade_on_close` is `True`, market orders will be filled

backtesting/test/_test.py

@@ -173,7 +173,6 @@ def next(self, _FEW_DAYS=pd.Timedelta('3 days')):  # noqa: N803
                 self.position.is_long
 
                 if crossover(self.sma, self.data.Close):
-                    self.orders.cancel()  # cancels only non-contingent
                     price = self.data.Close[-1]
                     sl, tp = 1.05 * price, .9 * price
 
@@ -1039,10 +1038,13 @@ class TestDocs(TestCase):
     DOCS_DIR = os.path.join(os.path.dirname(__file__), '..', '..', 'doc')
 
     @unittest.skipUnless(os.path.isdir(DOCS_DIR), "docs dir doesn't exist")
+    @unittest.skipUnless(sys.platform.startswith('linux'), "test_examples requires mp.start_method=fork")
     def test_examples(self):
+        import backtesting
         examples = glob(os.path.join(self.DOCS_DIR, 'examples', '*.py'))
         self.assertGreaterEqual(len(examples), 4)
-        with chdir(gettempdir()):
+        with chdir(gettempdir()), \
+                patch(backtesting, 'Pool', mp.get_context('fork').Pool):
             for file in examples:
                 with self.subTest(example=os.path.basename(file)):
                     run_path(file)