def test_run_with_empty_strategy(self):
# Arrange
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EmptyStrategy("001")]
config = BacktestConfig(exec_db_type="in-memory")
engine = BacktestEngine(
data=data,
strategies=strategies,
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
fill_model=FillModel(),
config=config,
)
start = datetime(2013, 1, 1, 22, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 8, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_backtest_run_empty.prof"
cProfile.runctx("engine.run(start, stop)", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
def setUp(self):
self.usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(self.usdjpy)
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
config = BacktestConfig(
tick_capacity=1000,
bar_capacity=1000,
exec_db_type='in-memory',
exec_db_flush=False,
frozen_account=False,
starting_capital=1000000,
account_currency=USD,
short_term_interest_csv_path='default',
bypass_logging=False,
level_console=LogLevel.DEBUG,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
log_thread=False,
log_to_file=False,
)
self.engine = BacktestEngine(
data=data,
strategies=[EmptyStrategy('000')],
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
config=config,
)
def test_given_list_of_ticks_aggregates_tick_bars(self):
# Arrange
tick_data = TestDataProvider.usdjpy_test_ticks()
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.wrangler = TickDataWrangler(
instrument=InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_ticks=tick_data,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data})
self.wrangler.pre_process(0)
bar_store = ObjectStorer()
handler = bar_store.store_2
symbol = TestStubs.symbol_usdjpy_fxcm()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(symbol, bar_spec)
clock = TestClock()
logger = TestLogger(clock)
ticks = self.wrangler.build_ticks()
builder = BulkTickBarBuilder(bar_type, logger, handler)
# Act
builder.receive(ticks)
# Assert
self.assertEqual(333, len(bar_store.get_store()[0][1]))
def setUp(self):
# Fixture Setup
self.usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
self.data = BacktestDataContainer()
self.data.add_instrument(self.usdjpy)
self.data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
self.data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
self.test_clock = TestClock()
def test_default_fx_with_3_dp_returns_expected_instrument(self):
# Arrange
loader = InstrumentLoader()
# Act
instrument = loader.default_fx_ccy(Symbol("USD/JPY", Venue('FXCM')))
# Assert
self.assertEqual(Symbol("USD/JPY", Venue('FXCM')), instrument.symbol)
self.assertEqual(3, instrument.price_precision)
self.assertEqual(Decimal("0.001"), instrument.tick_size)
self.assertEqual(
Currency(code='JPY', precision=2, currency_type=CurrencyType.FIAT),
instrument.quote_currency)
def test_default_fx_with_3_dp_returns_expected_instrument(self):
# Arrange
loader = InstrumentLoader()
# Act
instrument = loader.default_fx_ccy(Symbol('USDJPY',
Venue('DUKASCOPY')))
# Assert
self.assertEqual(Symbol('USDJPY', Venue('DUKASCOPY')),
instrument.symbol)
self.assertEqual('USD/JPY', instrument.broker_symbol)
self.assertEqual(3, instrument.price_precision)
self.assertEqual(Decimal(0.001, 3), instrument.tick_size)
self.assertEqual(392, instrument.quote_currency)
def test_calculate_for_usdjpy(self):
# Arrange
sizer = FixedRiskSizer(
InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm()))
equity = Money(1000000, USD)
# Act
result = sizer.calculate(
equity,
10, # 0.1%
Price("107.703"),
Price("107.403"),
exchange_rate=0.0093,
units=1,
unit_batch_size=1000,
)
# Assert
self.assertEqual(Quantity(358000), result)
def setUp(self):
usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
self.engine = BacktestEngine(
data=data,
strategies=[EmptyStrategy("000")],
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
fill_model=FillModel(),
config=BacktestConfig(),
)
def test_build_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.usdjpy_test_ticks()
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = TickDataWrangler(
instrument=InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_ticks=tick_data,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data})
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.tick_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(1000, len(ticks))
self.assertEqual(Timestamp("2013-01-01 22:02:35.907000", tz="UTC"),
ticks.iloc[1].name)
def test_run_for_tick_processing(self):
# Arrange
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EMACross(
symbol=usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
fast_ema=10,
slow_ema=20)]
config = BacktestConfig(
exec_db_type="in-memory",
bypass_logging=True,
console_prints=False)
engine = BacktestEngine(
data=data,
strategies=strategies,
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
config=config,
fill_model=None,
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_tick_processing.prof"
cProfile.runctx("engine.run(start, stop)", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
def test_build_ticks_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = TickDataWrangler(
instrument=InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_ticks=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data})
# Act
self.tick_builder.pre_process(0)
tick_data = self.tick_builder.tick_data
# Assert
self.assertEqual(BarAggregation.MINUTE, self.tick_builder.resolution)
self.assertEqual(1491252, len(tick_data))
self.assertEqual(
Timestamp("2013-01-01T21:59:59.900000+00:00", tz="UTC"),
tick_data.iloc[0].name)
self.assertEqual(
Timestamp("2013-01-01T21:59:59.900000+00:00", tz="UTC"),
tick_data.iloc[1].name)
self.assertEqual(
Timestamp("2013-01-01T21:59:59.900000+00:00", tz="UTC"),
tick_data.iloc[2].name)
self.assertEqual(
Timestamp("2013-01-01T22:00:00.000000+00:00", tz="UTC"),
tick_data.iloc[3].name)
self.assertEqual(0, tick_data.iloc[0]["symbol"])
self.assertEqual(0, tick_data.iloc[0]["bid_size"])
self.assertEqual(0, tick_data.iloc[0]["ask_size"])
self.assertEqual(0, tick_data.iloc[1]["bid_size"])
self.assertEqual(0, tick_data.iloc[1]["ask_size"])
self.assertEqual(0, tick_data.iloc[2]["bid_size"])
self.assertEqual(0, tick_data.iloc[2]["ask_size"])
self.assertEqual(1.5, tick_data.iloc[3]["bid_size"])
self.assertEqual(2.25, tick_data.iloc[3]["ask_size"])
def test_timer_alert_sequencing_with_tick_execution(self):
# Arrange
usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
bar_type = TestStubs.bartype_usdjpy_1min_bid()
tick_tock = TickTock(instrument=usdjpy, bar_type=bar_type)
engine = BacktestEngine(
data=data,
strategies=[tick_tock],
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
fill_model=FillModel(),
config=BacktestConfig(),
)
start = datetime(2013, 1, 1, 22, 2, 0, 0)
stop = datetime(2013, 1, 1, 22, 5, 0, 0)
# Act
engine.run(start, stop)
# Assert
self.assertEqual(Timestamp("2013-01-01 21:59:59.900000+0000"),
engine.data_engine.min_timestamp)
self.assertEqual(Timestamp("2013-01-02 09:19:00+0000"),
engine.data_engine.max_timestamp)
self.assertEqual([x.timestamp for x in tick_tock.store],
sorted([x.timestamp
for x in tick_tock.store])) # Events in order
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine = DataEngine(
tick_capacity=1000,
bar_capacity=1000,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.set_use_previous_close(False)
self.analyzer = PerformanceAnalyzer()
trader_id = TraderId('TESTER', '000')
account_id = TestStubs.account_id()
self.exec_db = BypassExecutionDatabase(
trader_id=trader_id,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
database=self.exec_db,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
self.market = SimulatedMarket(
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
exec_cache=self.exec_engine.cache,
instruments={usdjpy.symbol: usdjpy},
config=BacktestConfig(),
fill_model=FillModel(),
commission_model=GenericCommissionModel(),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_client = BacktestExecClient(
market=self.market,
account_id=account_id,
engine=self.exec_engine,
logger=self.logger,
)
self.exec_engine.register_client(self.exec_client)
self.market.register_client(self.exec_client)
self.exec_engine.process(TestStubs.event_account_state())
self.market.process_tick(TestStubs.quote_tick_3decimal(usdjpy.symbol)) # Prepare market
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
trader_id=TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.strategy.register_data_engine(self.data_engine)
self.strategy.register_execution_engine(self.exec_engine)
print("\n")
def setUp(self):
# Fixture Setup
usdjpy = InstrumentLoader.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID,
TestDataProvider.usdjpy_1min_bid()[:2000])
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK,
TestDataProvider.usdjpy_1min_ask()[:2000])
clock = TestClock()
uuid_factory = TestUUIDFactory()
logger = TestLogger(clock)
trader_id = TraderId("TESTER", "000")
account_id = TestStubs.account_id()
self.portfolio = Portfolio(
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)
data_engine = BacktestDataEngine(
data=data,
tick_capacity=1000,
bar_capacity=1000,
portfolio=self.portfolio,
clock=clock,
logger=logger,
)
self.analyzer = PerformanceAnalyzer()
self.exec_db = BypassExecutionDatabase(
trader_id=trader_id,
logger=logger,
)
self.exec_engine = ExecutionEngine(
database=self.exec_db,
portfolio=self.portfolio,
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)
self.market = SimulatedMarket(
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
exec_cache=self.exec_engine.cache,
instruments={usdjpy.symbol: usdjpy},
config=BacktestConfig(),
fill_model=FillModel(),
commission_model=GenericCommissionModel(),
clock=clock,
uuid_factory=TestUUIDFactory(),
logger=logger,
)
self.exec_client = BacktestExecClient(
market=self.market,
account_id=account_id,
engine=self.exec_engine,
logger=logger,
)
self.exec_engine.register_client(self.exec_client)
strategies = [
EmptyStrategy("001"),
EmptyStrategy("002"),
]
self.trader = Trader(
trader_id=trader_id,
strategies=strategies,
data_engine=data_engine,
exec_engine=self.exec_engine,
clock=clock,
uuid_factory=uuid_factory,
logger=logger,
)
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
# -------------------------------------------------------------------------------------------------
import unittest
from nautilus_trader.backtest.loaders import InstrumentLoader
from nautilus_trader.model.currencies import USD
from nautilus_trader.model.objects import Money
from nautilus_trader.model.objects import Price
from nautilus_trader.model.objects import Quantity
from nautilus_trader.trading.sizing import FixedRiskSizer
from tests.test_kit.stubs import TestStubs
USDJPY = InstrumentLoader.default_fx_ccy(TestStubs.symbol_gbpusd_fxcm())
class FixedRiskSizerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.sizer = FixedRiskSizer(USDJPY)
def test_calculate_single_unit_size(self):
# Arrange
equity = Money(1000000, USD)
# Act
result = self.sizer.calculate(
equity,
10, # 0.1%