def test_initialize_must_be_called_before_increment_time(self):
''' initialize calls increment time first to avoid starting later than
expected.
'''
tk = Timekeeper()
tk.contribute_times(timestamps_a)
self.assertRaises(Exception, tk.increment_time)
def __init__(self,
timekeeper=None,
trades_filename="",
settings=None,
logger=None,
L2orderbook_filename="",
name="",
orderqty_type='USD'):
self.settings = settings
self.paper = paper_trading.PaperTrading(settings=self.settings,
logger=logger)
if timekeeper == None:
self.timekeeper = Timekeeper()
self.own_timekeeper = True
else:
self.own_timekeeper = False
self.timekeeper = timekeeper
self.accessor = ExchangePairAccessor(self.timekeeper,
trades_filename,
L2orderbook_filename,
name=name,
settings=self.settings)
self.paper.provide_exchange(self.accessor)
self.paper.reset()
self.orderIDPrefix = "BT_"
if self.own_timekeeper:
self.timekeeper.initialize()
self.symbol = self.settings.symbol
self.last_order_time = None
self.name = name
self.orderqty_type = orderqty_type
def test_EPA_fail_if_not_warm(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
self.assertRaises(Exception, self.bt.recent_trades)
def test_BackTest_is_warm(self):
timekeeper = Timekeeper()
bmex = BacktestInterface(timekeeper=timekeeper,
settings=self.settings_mock,
trades_filename=MEX_BTC_USD,
L2orderbook_filename=MEX_OB_BTC_USD)
timekeeper.initialize()
assert bmex.is_warm() is not None
assert bmex.is_warm() == True or bmex.is_warm() == False
def test_BackTest_stack(self):
timekeeper = Timekeeper()
bmex = BacktestInterface(timekeeper=timekeeper,
settings=self.settings_mock,
trades_filename=MEX_BTC_USD,
L2orderbook_filename=MEX_OB_BTC_USD)
timekeeper.initialize()
while bmex.check_if_orderbook_empty():
timekeeper.increment_time()
print(bmex.get_ticker())
print(bmex.get_orderbook_time())
print(bmex.recent_trades()[-1])
orders = [{
"orderID": "1",
"orderQty": 10,
"price": 7016.5,
"side": "Sell"
}, {
"orderID": "2",
"orderQty": 10,
"price": 7016,
"side": "Buy"
}]
bmex.create_bulk_orders(orders)
for x in range(20):
timekeeper.increment_time()
bmex.loop()
print(timekeeper.get_time())
print(bmex.get_position())
assert bmex.get_position()['currentQty'] == -10
def test_EPA_starts_after_start_time(self, new_open, reader_function):
self.timekeeper = Timekeeper()
start_time = datetime.time(23, 59, 53, 988000)
self.settings_mock.get.return_value = "23:59:53.988000"
self.settings_mock.START_TIME = "23:59:53.988000"
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.START_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
print(self.bt.current_timestamp())
assert self.bt.current_timestamp().time() >= start_time
def test_EPA_check_timestamps_sync(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
assert self.bt.current_timestamp() == self.gdax_accessor.current_timestamp()
#increment time and check again
self.timekeeper.increment_time()
assert self.bt.current_timestamp() == self.gdax_accessor.current_timestamp()
def test_EPA_price_should_be_correct_at_time(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
while not(self.bt.is_warm() & self.gdax_accessor.is_warm()):
self.timekeeper.increment_time()
assert self.bt.recent_trades()[-1]['price'] == 7017
assert self.gdax_accessor.recent_trades()[-1]['price'] == 7015.01
def increment_time_ignores_duplicate_times(self):
tk = Timekeeper()
tk.contribute_times(timestamps_a)
tk.contribute_times(timestamps_b)
tk.initialize()
for x in timestamps_a_b_c_in_order:
assert tk.get_time() == x
print("%s - %s" % (tk.get_time(), x))
try:
tk.increment_time()
except EOFError:
'''Attempting to increment_time after all times consumed raises Error '''
pass
def test_EPA_should_return_trades_and_orderbook(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.EARLY_STOP_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
while not self.bt.is_warm():
self.timekeeper.increment_time()
assert self.bt.recent_trades() != []
assert self.bt.market_depth("") != []
assert isinstance(self.bt.market_depth("")[-1]['size'], float)
assert isinstance(self.bt.market_depth("")[-1]['price'], float)
assert self.bt.market_depth("")[-1]['side'] in ['Sell', 'Buy']
def test_EPA_early_stopping(self, new_open, reader_function):
end_time = datetime.time(23, 59, 53, 978000)
self.settings_mock.EARLY_STOP_TIME = "23:59:53.9780000"
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv",
L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
self.timekeeper.initialize()
saved_time = self.bt.current_timestamp()
while True:
try:
self.timekeeper.increment_time()
saved_time = self.bt.recent_trades()[-1]['time_object']
#print(saved_time)
except:
break
print(end_time)
print(saved_time)
assert saved_time.time() <= end_time
def test_EPA_values_still_accessible_after_EOF(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.EARLY_STOP_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
while True:
try:
self.timekeeper.increment_time()
except:
break
#Call a bunch of functions, should not raise exception
assert self.bt.current_timestamp()
assert self.bt.is_warm()
assert self.bt.instrument()
assert self.bt.ticker_data()
assert self.bt.market_depth("")
assert self.bt.recent_trades()
#Call wait_update, should raise EOFError
self.assertRaises(EOFError, self.bt.wait_update)
def test_check_if_orderbook_empty(self):
timekeeper = Timekeeper()
bmex = BacktestInterface(timekeeper=timekeeper,
settings=self.settings_mock,
trades_filename=MEX_BTC_USD,
L2orderbook_filename=MEX_OB_BTC_USD)
timekeeper.initialize()
print(bmex.check_if_orderbook_empty())
assert bmex.check_if_orderbook_empty() is True
while bmex.check_if_orderbook_empty():
timekeeper.increment_time()
assert bmex.check_if_orderbook_empty() is False
def test_contribute_times_must_be_called_first(self):
tk = Timekeeper()
self.assertRaises(Exception, tk.initialize)
def test_raise_EOFError_if_all_timestamps_consumed(self):
tk = Timekeeper()
tk.contribute_times(timestamps_a)
tk.initialize()
tk.increment_time()
self.assertRaises(EOFError, tk.increment_time)
def test_calls_timekeeper(self, new_open, reader_function):
self.timekeeper = MagicMock()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
print(self.bt._trade_data)
self.timekeeper.contribute_times.assert_called_with(timekeeper_parameters)
new_open.assert_called_with("fake.csv")
class Test_ExchangePairAccessor(TestCase):
def setUp(self):
"""
It's patching time
"""
#http://www.voidspace.org.uk/python/mock/examples.html#mocking-imports-with-patch-dict
self.settings_mock = MagicMock()
self.settings_mock.DRY_RUN = False
self.settings_mock.BACKTEST = True
self.settings_mock.SYMBOL='XBTUSD'
self.settings_mock.TICK_SIZE = {'XBTUSD': 0.5, 'ETHUSD': 0.05}
def tearDown(self):
"""
Let's clean up
"""
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect=mock_csv_reader_generator(bitmex_trades_file))
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_calls_timekeeper(self, new_open, reader_function):
self.timekeeper = MagicMock()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
print(self.bt._trade_data)
self.timekeeper.contribute_times.assert_called_with(timekeeper_parameters)
new_open.assert_called_with("fake.csv")
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect=mock_csv_reader_generator(bitmex_trades_file))
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_check_timestamps_sync(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
assert self.bt.current_timestamp() == self.gdax_accessor.current_timestamp()
#increment time and check again
self.timekeeper.increment_time()
assert self.bt.current_timestamp() == self.gdax_accessor.current_timestamp()
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect=mock_csv_reader_generator(bitmex_trades_file))
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_fail_if_not_warm(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
self.assertRaises(Exception, self.bt.recent_trades)
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect=mock_csv_reader_generator(bitmex_trades_file))
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_price_should_be_correct_at_time(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
#now load GDAX
reader_function.side_effect = mock_csv_reader_generator(gdax_trades_file)
self.gdax_accessor = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", settings = self.settings_mock)
self.timekeeper.initialize()
while not(self.bt.is_warm() & self.gdax_accessor.is_warm()):
self.timekeeper.increment_time()
assert self.bt.recent_trades()[-1]['price'] == 7017
assert self.gdax_accessor.recent_trades()[-1]['price'] == 7015.01
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect= multiple_calls)
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_should_return_trades_and_orderbook(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.EARLY_STOP_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
while not self.bt.is_warm():
self.timekeeper.increment_time()
assert self.bt.recent_trades() != []
assert self.bt.market_depth("") != []
assert isinstance(self.bt.market_depth("")[-1]['size'], float)
assert isinstance(self.bt.market_depth("")[-1]['price'], float)
assert self.bt.market_depth("")[-1]['side'] in ['Sell', 'Buy']
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect= multiple_calls_generator())
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_early_stopping(self, new_open, reader_function):
end_time = datetime.time(23, 59, 53, 978000)
self.settings_mock.EARLY_STOP_TIME = "23:59:53.9780000"
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv",
L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
self.timekeeper.initialize()
saved_time = self.bt.current_timestamp()
while True:
try:
self.timekeeper.increment_time()
saved_time = self.bt.recent_trades()[-1]['time_object']
#print(saved_time)
except:
break
print(end_time)
print(saved_time)
assert saved_time.time() <= end_time
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect= multiple_calls_generator())
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_values_still_accessible_after_EOF(self, new_open, reader_function):
self.timekeeper = Timekeeper()
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.EARLY_STOP_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
while True:
try:
self.timekeeper.increment_time()
except:
break
#Call a bunch of functions, should not raise exception
assert self.bt.current_timestamp()
assert self.bt.is_warm()
assert self.bt.instrument()
assert self.bt.ticker_data()
assert self.bt.market_depth("")
assert self.bt.recent_trades()
#Call wait_update, should raise EOFError
self.assertRaises(EOFError, self.bt.wait_update)
@patch('market_maker.backtest.exchangepairaccessor.csv.reader', side_effect= multiple_calls_generator())
@patch('market_maker.backtest.exchangepairaccessor.open')
def test_EPA_starts_after_start_time(self, new_open, reader_function):
self.timekeeper = Timekeeper()
start_time = datetime.time(23, 59, 53, 988000)
self.settings_mock.get.return_value = "23:59:53.988000"
self.settings_mock.START_TIME = "23:59:53.988000"
self.bt = ExchangePairAccessor(timekeeper = self.timekeeper, trades_filename = "fake.csv", L2orderbook_filename = "fake2.csv", settings = self.settings_mock)
print(self.settings_mock.START_TIME is not None)
self.timekeeper.initialize()
# increment time to get warm
print(self.bt.current_timestamp())
assert self.bt.current_timestamp().time() >= start_time
def test_initialize_must_be_called_before_get_time(self):
tk = Timekeeper()
tk.contribute_times(timestamps_a)
self.assertRaises(Exception, tk.get_time)
class BacktestInterface:
def __init__(self,
timekeeper=None,
trades_filename="",
settings=None,
logger=None,
L2orderbook_filename="",
name="",
orderqty_type='USD'):
self.settings = settings
self.paper = paper_trading.PaperTrading(settings=self.settings,
logger=logger)
if timekeeper == None:
self.timekeeper = Timekeeper()
self.own_timekeeper = True
else:
self.own_timekeeper = False
self.timekeeper = timekeeper
self.accessor = ExchangePairAccessor(self.timekeeper,
trades_filename,
L2orderbook_filename,
name=name,
settings=self.settings)
self.paper.provide_exchange(self.accessor)
self.paper.reset()
self.orderIDPrefix = "BT_"
if self.own_timekeeper:
self.timekeeper.initialize()
self.symbol = self.settings.symbol
self.last_order_time = None
self.name = name
self.orderqty_type = orderqty_type
def is_warm(self):
return self.accessor.is_warm()
def get_orderqty_type(self):
return self.orderqty_type
def cancel_order(self, order):
tickLog = self.get_instrument()['tickLog']
logger.info(
"Canceling: %s %d @ %.*f" %
(order['side'], order['orderQty'], tickLog, order['price']))
return self.paper.cancel_order(order['orderID'])
def cancel_all_orders(self):
logger.info(
"Resetting current position. Canceling all existing orders.")
return self.paper.cancel_all_orders()
def get_portfolio(self):
contracts = self.settings.CONTRACTS
portfolio = {}
for symbol in contracts:
position = self.paper.get_position(symbol=symbol)
instrument = self.accessor.instrument(symbol=symbol)
if instrument['isQuanto']:
future_type = "Quanto"
elif instrument['isInverse']:
future_type = "Inverse"
elif not instrument['isQuanto'] and not instrument['isInverse']:
future_type = "Linear"
else:
raise NotImplementedError(
"Unknown future type; not quanto or inverse: %s" %
instrument['symbol'])
if instrument['underlyingToSettleMultiplier'] is None:
multiplier = float(instrument['multiplier']) / float(
instrument['quoteToSettleMultiplier'])
else:
multiplier = float(instrument['multiplier']) / float(
instrument['underlyingToSettleMultiplier'])
portfolio[symbol] = {
"currentQty": float(position['currentQty']),
"futureType": future_type,
"multiplier": multiplier,
"markPrice": float(instrument['markPrice']),
"spot": float(instrument['indicativeSettlePrice'])
}
return portfolio
def calc_delta(self):
"""Calculate currency delta for portfolio"""
portfolio = self.get_portfolio()
spot_delta = 0
mark_delta = 0
for symbol in portfolio:
item = portfolio[symbol]
if item['futureType'] == "Quanto":
spot_delta += item['currentQty'] * item['multiplier'] * item[
'spot']
mark_delta += item['currentQty'] * item['multiplier'] * item[
'markPrice']
elif item['futureType'] == "Inverse":
spot_delta += (item['multiplier'] /
item['spot']) * item['currentQty']
mark_delta += (item['multiplier'] /
item['markPrice']) * item['currentQty']
elif item['futureType'] == "Linear":
spot_delta += item['multiplier'] * item['currentQty']
mark_delta += item['multiplier'] * item['currentQty']
basis_delta = mark_delta - spot_delta
delta = {
"spot": spot_delta,
"mark_price": mark_delta,
"basis": basis_delta
}
return delta
def get_delta(self, symbol=None):
return self.paper.current_contract()
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
return self.accessor.instrument(symbol)
def get_margin(self):
return self.paper.get_funds()
def get_orders(self):
return self.paper.get_orders()
def get_highest_buy(self):
buys = [o for o in self.get_orders() if o['side'] == 'Buy']
if not len(buys):
return {'price': -2**32}
highest_buy = max(buys or [], key=lambda o: o['price'])
return highest_buy if highest_buy else {'price': -2**32}
def get_lowest_sell(self):
sells = [o for o in self.get_orders() if o['side'] == 'Sell']
if not len(sells):
return {'price': 2**32}
lowest_sell = min(sells or [], key=lambda o: o['price'])
return lowest_sell if lowest_sell else {
'price': 2**32
} # ought to be enough for anyone
def get_position(self, symbol=None):
return self.paper.get_position(symbol)
def get_ticker(self, symbol=None):
return self.accessor.ticker_data(symbol)
def get_orderbook_time(self):
return self.accessor.get_orderbook_time()
def is_open(self):
return True
def check_market_open(self):
return True
def check_if_orderbook_empty(self):
"""This function checks whether the order book is empty"""
#let's force an order book if we own timekeeper
ob = self.accessor.market_depth("")
if self.own_timekeeper:
while ob == []:
self.timekeeper.increment_time()
ob = self.accessor.market_depth("")
else:
return ob == []
def amend_bulk_orders(self, orders):
self.last_order_time = self._current_timestamp()
self.paper.cancel_all_orders()
self.paper.track_orders_created(orders)
def create_bulk_orders(self, orders):
if not isinstance(orders, list):
raise ValueError(
"backtest_interface.create_bulk_orders expects a list of orders"
)
self.last_order_time = self._current_timestamp()
for order in orders:
order['clOrdID'] = self.orderIDPrefix + base64.b64encode(
uuid.uuid4().bytes).decode('utf8').rstrip('=\n')
self.paper.track_orders_created(orders)
return orders
def cancel_bulk_orders(self, orders):
self.last_order_time = self._current_timestamp()
for order in orders:
self.cancel_order(order)
def recent_trades(self):
return self.accessor.recent_trades()
def market_deep(self):
return self.accessor.market_depth("")
def current_timestamp(self):
return self.accessor.current_timestamp().timestamp()
def contracts_this_run(self):
return self.paper.contract_traded_this_run()
def _current_timestamp(self):
return self.accessor.current_timestamp().timestamp()
def ok_to_enter_order(self):
'''Used to rate limit the placement of orders. Should work in backtest.'''
if self.last_order_time:
time_since_last = self._current_timestamp() - self.last_order_time
# force a 1 second wait for now
if time_since_last > max(self.current_api_call_timing(), 1):
self.last_order_time = self._current_timestamp()
return True
else:
return False
else:
self.last_order_time = self._current_timestamp()
return True
def current_api_call_timing(self):
'''calculates the recommended time until next API call'''
return 0.0
def loop(self):
self.accessor.wait_update()
self.paper.loop_functions()
def wait_update(self):
self.paper.loop_functions()
try:
if self.own_timekeeper:
self.timekeeper.increment_time()
self.accessor.wait_update()
except EOFError:
raise
except:
logger.error(
"Unknown error occurred in backtest_interface.wait_update")
raise
return True
def exit_exchange(self):
pass