def test_catalog_generic_data_not_overwritten(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
objs = self.catalog.generic_data(
cls=NewsEventData, filter_expr=ds.field("currency") == "USD", as_nautilus=True
)
# Clear the catalog again
data_catalog_setup()
self.catalog = DataCatalog.from_env()
assert (
len(self.catalog.generic_data(NewsEventData, raise_on_empty=False, as_nautilus=True))
== 0
)
chunk1, chunk2 = objs[:10], objs[5:15]
# Act, Assert
write_objects(catalog=self.catalog, chunk=chunk1)
assert len(self.catalog.generic_data(NewsEventData)) == 10
write_objects(catalog=self.catalog, chunk=chunk2)
assert len(self.catalog.generic_data(NewsEventData)) == 15
def setup(self):
data_catalog_setup()
dask.config.set(scheduler="single-threaded")
aud_usd_data_loader()
self.catalog = DataCatalog.from_env()
self.backtest_config = BacktestRunConfig(
engine=BacktestEngineConfig(),
venues=[
BacktestVenueConfig(
name="SIM",
oms_type="HEDGING",
account_type="MARGIN",
base_currency="USD",
starting_balances=["1000000 USD"],
# fill_model=fill_model, # TODO(cs): Implement next iteration
)
],
data=[
BacktestDataConfig(
catalog_path="/root",
catalog_fs_protocol="memory",
data_cls=QuoteTick,
instrument_id="AUD/USD.SIM",
start_time=1580398089820000000,
end_time=1580504394501000000,
)
],
)
def setup(self):
dask.config.set(scheduler="single-threaded")
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.venue_config = BacktestVenueConfig(
name="SIM",
oms_type="HEDGING",
account_type="MARGIN",
base_currency="USD",
starting_balances=["1000000 USD"],
# fill_model=fill_model, # TODO(cs): Implement next iteration
)
self.data_config = BacktestDataConfig(
catalog_path="/root",
catalog_fs_protocol="memory",
data_cls=QuoteTick,
instrument_id="AUD/USD.SIM",
start_time=1580398089820000000,
end_time=1580504394501000000,
)
self.backtest_configs = [
BacktestRunConfig(
engine=BacktestEngineConfig(),
venues=[self.venue_config],
data=[self.data_config],
)
]
self.strategies = [
ImportableStrategyConfig(
path="nautilus_trader.examples.strategies.ema_cross:EMACross",
config=EMACrossConfig(
instrument_id="AUD/USD.SIM",
bar_type="AUD/USD.SIM-100-TICK-MID-INTERNAL",
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
),
)
]
def setup(self):
# Fixture Setup
data_catalog_setup()
config = BacktestEngineConfig(
bypass_logging=True,
run_analysis=False,
)
self.engine = BacktestEngine(config=config)
self.venue = Venue("BETFAIR")
data = BetfairDataProvider.betfair_feed_parsed(
market_id="1.166811431.bz2", folder="data/betfair")
instruments = [d for d in data if isinstance(d, BettingInstrument)]
for instrument in instruments[:1]:
trade_ticks = [
d for d in data if isinstance(d, TradeTick)
and d.instrument_id == instrument.id
]
order_book_deltas = [
d for d in data if isinstance(d, OrderBookData)
and d.instrument_id == instrument.id
]
self.engine.add_instrument(instrument)
self.engine.add_ticks(trade_ticks)
self.engine.add_order_book_data(order_book_deltas)
self.instrument = instrument
self.engine.add_venue(
venue=self.venue,
account_type=AccountType.MARGIN,
base_currency=None,
oms_type=OMSType.NETTING,
starting_balances=[Money(10_000, GBP)],
book_type=BookType.L2_MBP,
)
def setup(self):
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.fs: fsspec.AbstractFileSystem = self.catalog.fs
self._loaded_data_into_catalog()
def setup(self):
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.fs = self.catalog.fs
self.reader = BetfairTestStubs.betfair_reader()
def setup(self):
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.reader = MockReader()
self.line_preprocessor = TestLineProcessor()
def setup(self):
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.fs = self.catalog.fs
self._loaded_data_into_catalog()
def setup(self):
data_catalog_setup()
self.catalog = DataCatalog.from_env()
self.fs = self.catalog.fs
self.reader = MockReader()