def setUp(self):
self.maxDiff = None
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0, self.start_timestamp, self.end_timestamp)
self.market_1: BacktestMarket = BacktestMarket()
self.market_2: BacktestMarket = BacktestMarket()
self.market_1_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_1_trading_pairs)
self.market_2_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_2_trading_pairs)
self.market_1_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.market_2_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.005, 5)
self.market_1.add_data(self.market_1_data)
self.market_2.add_data(self.market_2_data)
self.market_1.set_balance("COINALPHA", 500)
self.market_1.set_balance("WETH", 500)
self.market_2.set_balance("COINALPHA", 500)
self.market_2.set_balance("ETH", 500)
self.market_1.set_quantization_param(
QuantizationParams(
self.market_1_trading_pairs[0], 5, 5, 5, 5
)
)
self.market_2.set_quantization_param(
QuantizationParams(
self.market_2_trading_pairs[0], 5, 5, 5, 5
)
)
self.market_trading_pair_tuple_1 = MarketTradingPairTuple(*([self.market_1] + self.market_1_trading_pairs))
self.market_trading_pair_tuple_2 = MarketTradingPairTuple(*([self.market_2] + self.market_2_trading_pairs))
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
self.market_trading_pair_tuple_1, self.market_trading_pair_tuple_2
)
self.logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=Decimal("0.03"),
logging_options=self.logging_options,
secondary_to_primary_quote_conversion_rate=Decimal("0.95")
)
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled, self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled, self.market_2_order_fill_logger)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0,
self.start_timestamp, self.end_timestamp)
self.market_1: BacktestMarket = BacktestMarket()
self.market_2: BacktestMarket = BacktestMarket()
self.market_1_data: MockOrderBookLoader = MockOrderBookLoader(
*self.market_1_symbols)
self.market_2_data: MockOrderBookLoader = MockOrderBookLoader(
*self.market_2_symbols)
self.market_1_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.market_2_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.005, 5)
self.market_1.add_data(self.market_1_data)
self.market_2.add_data(self.market_2_data)
self.market_1.set_balance("COINALPHA", 500)
self.market_1.set_balance("WETH", 500)
self.market_2.set_balance("COINALPHA", 500)
self.market_2.set_balance("ETH", 500)
self.market_1.set_quantization_param(
QuantizationParams(self.market_1_symbols[0], 5, 5, 5, 5))
self.market_2.set_quantization_param(
QuantizationParams(self.market_2_symbols[0], 5, 5, 5, 5))
self.market_symbol_pair_1 = MarketSymbolPair(*([self.market_1] +
self.market_1_symbols))
self.market_symbol_pair_2 = MarketSymbolPair(*([self.market_2] +
self.market_2_symbols))
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
*(self.market_symbol_pair_1 + self.market_symbol_pair_2))
self.logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=0.03,
logging_options=self.logging_options)
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled,
self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled,
self.market_2_order_fill_logger)