From 044b57a943e76cb9446ee774557710b1d49da9fb Mon Sep 17 00:00:00 2001
From: Mikko Ohtamaa <mikko@opensourcehacker.com>
Date: Sat, 20 Jul 2024 23:13:36 +0900
Subject: [PATCH] Add price_data_delay_tolerance hint

---
 tests/backtest/test_backtest_execution.py           | 12 +++++++++++-
 tradeexecutor/backtest/backtest_runner.py           |  5 ++++-
 tradeexecutor/strategy/trading_strategy_universe.py | 10 ++++++++++
 3 files changed, 25 insertions(+), 2 deletions(-)

diff --git a/tests/backtest/test_backtest_execution.py b/tests/backtest/test_backtest_execution.py
index 1c2228d32..11b9ed129 100644
--- a/tests/backtest/test_backtest_execution.py
+++ b/tests/backtest/test_backtest_execution.py
@@ -5,8 +5,10 @@
 import logging
 from decimal import Decimal
 
+import pandas as pd
 import pytest
 
+from tradeexecutor.backtest.backtest_runner import guess_data_delay_tolerance
 from tradeexecutor.state.identifier import AssetIdentifier
 from tradeexecutor.state.trade import TradeStatus
 from tradeexecutor.strategy.reserve_currency import ReserveCurrency
@@ -260,7 +262,7 @@ def test_buy_with_fee(
     logger: logging.Logger,
     state: State,
     wallet: SimulatedWallet,
-        strategy_universe,
+    strategy_universe,
     routing_model: BacktestRoutingModel,
     pricing_model: BacktestPricing,
     wbnb: AssetIdentifier,
@@ -341,3 +343,11 @@ def test_buy_sell_backtest_with_fee(
     # Check our wallet was credited
     assert wallet.get_balance(busd.address) == pytest.approx(Decimal('9990.040840796019796453251579'))
     assert wallet.get_balance(wbnb.address) == 0
+
+
+def test_price_data_tolerance(
+    strategy_universe,
+):
+    """Workaround for Uni v3 issues"""
+    strategy_universe.price_data_delay_tolerance = datetime.timedelta(days=365)
+    assert guess_data_delay_tolerance(strategy_universe) == pd.Timedelta(days=365)
\ No newline at end of file
diff --git a/tradeexecutor/backtest/backtest_runner.py b/tradeexecutor/backtest/backtest_runner.py
index 493f57b97..f06b095eb 100644
--- a/tradeexecutor/backtest/backtest_runner.py
+++ b/tradeexecutor/backtest/backtest_runner.py
@@ -1025,7 +1025,10 @@ def guess_data_delay_tolerance(universe: TradingStrategyUniverse) -> pd.Timedelt
 
     This could work around some data quality issues or early historical data.
     """
-    if universe.data_universe.time_bucket == TimeBucket.d7:
+
+    if universe.price_data_delay_tolerance:
+        return pd.Timedelta(universe.price_data_delay_tolerance)
+    elif universe.data_universe.time_bucket == TimeBucket.d7:
         data_delay_tolerance = pd.Timedelta("9d")
     else:
         data_delay_tolerance = pd.Timedelta("2d")
diff --git a/tradeexecutor/strategy/trading_strategy_universe.py b/tradeexecutor/strategy/trading_strategy_universe.py
index d8a042b57..d5247713c 100644
--- a/tradeexecutor/strategy/trading_strategy_universe.py
+++ b/tradeexecutor/strategy/trading_strategy_universe.py
@@ -171,6 +171,16 @@ class TradingStrategyUniverse(StrategyExecutionUniverse):
     #:
     options: UniverseOptions | None = None
 
+    #: How much lag we allow in the price feed.
+    #:
+    #: This can be set for a very high value when working with open ended universes where the liquidity pools are
+    #: disappear when liquidity providers leave.
+    #:
+    #: TODO: Use carefully - this is mostly a workaround variable and
+    #: will have a more robust TVL/liquidity solution in the future.
+    #:
+    price_data_delay_tolerance: datetime.timedelta | None = None
+
     def __repr__(self):
         pair_count = self.data_universe.pairs.get_count()
         if pair_count <= 3: