Add currencies to data handler

qf_lib/backtesting/trading_session/backtest_trading_session.py

@@ -82,6 +82,15 @@ def use_data_preloading(self, tickers: Union[Ticker, Sequence[Ticker]], time_del
         # The tickers and price fields are sorted in order to always return the same hash of the data bundle for
         # the same set of tickers and fields
         tickers, _ = convert_to_list(tickers, Ticker)
+
+        if self.portfolio.currency is not None:
+            currencies = set([ticker.currency for ticker in tickers])
+            if any(currency != self.portfolio.currency for currency in currencies):
+                currencies.discard(self.portfolio.currency)
+                tickers += [
+                    self.data_provider.create_exchange_ticker(currency, self.portfolio.currency) for currency in currencies
+                ]
+
         self.data_handler.use_data_bundle(sorted(tickers), sorted(PriceField.ohlcv()), data_start, self.end_date,
                                           self.frequency)
         self._hash_of_data_bundle = compute_container_hash(self.data_handler.data_provider.data_bundle)

qf_lib/backtesting/trading_session/backtest_trading_session_builder.py

@@ -85,7 +85,6 @@ def __init__(self, settings: Settings, pdf_exporter: PDFExporter, excel_exporter
         self._initial_risk = None
         self._benchmark_tms = None
         self._monitor_settings = None
-        self.currency_exchange_tickers = None
 
         self._contract_ticker_mapper = SimulatedContractTickerMapper()
 
@@ -199,6 +198,17 @@ def set_initial_cash(self, initial_cash: int):
         assert type(initial_cash) is int and initial_cash > 0
         self._initial_cash = initial_cash
 
+    @ConfigExporter.update_config
+    def set_portfolio_currency(self, currency: str):
+        """Sets the portfolio currency.
+
+        Parameters
+        -----------
+        currency: str
+            ISO code of the portfolio currency (Ex. 'EUR' for Euro)
+        """
+        self._currency = currency
+
     @ConfigExporter.update_config
     def set_initial_risk(self, initial_risk: float):
         """Sets the initial risk value.
@@ -410,8 +420,7 @@ def build(self, start_date: datetime, end_date: datetime) -> BacktestTradingSess
         self._data_handler = self._create_data_handler(self._data_provider, self._timer)
         signals_register = self._signals_register if self._signals_register else BacktestSignalsRegister()
 
-        self._portfolio = Portfolio(self._data_handler, self._initial_cash, self._timer,
-                                    self._currency, self.currency_exchange_tickers)
+        self._portfolio = Portfolio(self._data_handler, self._initial_cash, self._timer, self._currency)
 
         self._backtest_result = BacktestResult(self._portfolio, signals_register, self._backtest_name, start_date,
                                                end_date, self._initial_risk)

qf_lib/data_providers/bloomberg/bloomberg_data_provider.py

@@ -207,6 +207,9 @@ def get_current_values(self, tickers: Union[BloombergTicker, Sequence[BloombergT
 
         return casted_result
 
+    def create_exchange_rate_ticker(self, base_currency: str, quote_currency: str):
+        return BloombergTicker.from_string(f'{base_currency}{quote_currency} Curncy')
+
     def get_last_available_exchange_rate(self, base_currency: str, quote_currency: str,
                                          frequency: Frequency = Frequency.DAILY):
         """
@@ -226,7 +229,7 @@ def get_last_available_exchange_rate(self, base_currency: str, quote_currency: s
         float
             last available exchange rate
         """
-        currency_ticker = BloombergTicker.from_string(f'{base_currency}{quote_currency} Curncy')
+        currency_ticker = self.create_exchange_rate_ticker(base_currency, quote_currency)
         quote_factor = self.get_current_values(currency_ticker, fields="QUOTE_FACTOR")
         return self.get_last_available_price(currency_ticker, frequency=frequency)/quote_factor