def setUp(self):
# Fixture Setup
self.venue = Venue("SIM")
self.audusd = TestInstrumentProvider.default_fx_ccy("AUD/USD")
data = BacktestDataContainer()
data.add_instrument(self.audusd)
data.add_quote_ticks(self.audusd.id, TestDataProvider.audusd_ticks())
self.engine = BacktestEngine(
data=data,
strategies=[TradingStrategy("000")],
bypass_logging=True,
use_data_cache=True,
)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT + "/data/", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_exchange(
venue=self.venue,
oms_type=OMSType.HEDGING,
starting_balances=[Money(1_000_000, AUD)],
modules=[fx_rollover_interest],
)
def setup(self):
# Fixture Setup
config = BacktestEngineConfig(
bypass_logging=True,
run_analysis=False,
)
self.engine = BacktestEngine(config=config)
self.venue = Venue("SIM")
self.audusd = TestInstrumentProvider.default_fx_ccy("AUD/USD")
# Setup data
wrangler = QuoteTickDataWrangler(self.audusd)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("truefx-audusd-ticks.csv"))
self.engine.add_instrument(self.audusd)
self.engine.add_ticks(ticks)
interest_rate_data = provider.read_csv("short-term-interest.csv")
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=Venue("SIM"),
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=AUD,
starting_balances=[Money(1_000_000, AUD)],
modules=[fx_rollover_interest],
)
def setUp(self):
# Fixture Setup
self.venue = Venue("SIM")
self.usdjpy = TestInstrumentProvider.default_fx_ccy(Symbol("USD/JPY", self.venue))
data = BacktestDataContainer()
data.add_instrument(self.usdjpy)
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(self.usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
self.engine = BacktestEngine(
data=data,
strategies=[TradingStrategy('000')],
bypass_logging=True,
use_tick_cache=True,
)
interest_rate_data = pd.read_csv(os.path.join(PACKAGE_ROOT + "/data/", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
self.engine.add_exchange(
venue=self.venue,
oms_type=OMSType.HEDGING,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest]
)
def setup(self):
# Fixture Setup
config = BacktestEngineConfig(
bypass_logging=True,
run_analysis=False,
)
self.engine = BacktestEngine(config=config)
self.venue = Venue("SIM")
self.usdjpy = TestInstrumentProvider.default_fx_ccy("USD/JPY")
# Setup data
wrangler = QuoteTickDataWrangler(instrument=self.usdjpy)
provider = TestDataProvider()
ticks = wrangler.process_bar_data(
bid_data=provider.read_csv_bars("fxcm-usdjpy-m1-bid-2013.csv"),
ask_data=provider.read_csv_bars("fxcm-usdjpy-m1-ask-2013.csv"),
)
self.engine.add_instrument(self.usdjpy)
self.engine.add_ticks(ticks)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=self.venue,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
def setUp(self):
# Fixture Setup
self.engine = BacktestEngine(
bypass_logging=True,
run_analysis=False,
)
self.venue = Venue("SIM")
self.audusd = TestInstrumentProvider.default_fx_ccy("AUD/USD")
self.engine.add_instrument(self.audusd)
self.engine.add_quote_ticks(self.audusd.id,
TestDataProvider.audusd_ticks())
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.ECN,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=AUD,
starting_balances=[Money(1_000_000, AUD)],
modules=[fx_rollover_interest],
)
def setUp(self):
# Fixture Setup
self.engine = BacktestEngine(bypass_logging=True)
self.venue = Venue("SIM")
self.usdjpy = TestInstrumentProvider.default_fx_ccy("USD/JPY")
self.engine.add_instrument(self.usdjpy)
self.engine.add_bars(
self.usdjpy.id,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid(),
)
self.engine.add_bars(
self.usdjpy.id,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask(),
)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=self.venue,
venue_type=VenueType.ECN,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
def setup(self):
# Fixture Setup
config = BacktestEngineConfig(
bypass_logging=False,
run_analysis=False,
risk_engine={
"bypass":
True, # Example of bypassing pre-trade risk checks for backtests
"max_notional_per_order": {
"GBP/USD.SIM": 2_000_000
},
},
)
self.engine = BacktestEngine(config=config)
self.venue = Venue("SIM")
self.gbpusd = TestInstrumentProvider.default_fx_ccy("GBP/USD")
# Setup wranglers
bid_wrangler = BarDataWrangler(
bar_type=BarType.from_str("GBP/USD.SIM-1-MINUTE-BID-EXTERNAL"),
instrument=self.gbpusd,
)
ask_wrangler = BarDataWrangler(
bar_type=BarType.from_str("GBP/USD.SIM-1-MINUTE-ASK-EXTERNAL"),
instrument=self.gbpusd,
)
# Setup data
provider = TestDataProvider()
# Build externally aggregated bars
bid_bars = bid_wrangler.process(
data=provider.read_csv_bars("fxcm-gbpusd-m1-bid-2012.csv"), )
ask_bars = ask_wrangler.process(
data=provider.read_csv_bars("fxcm-gbpusd-m1-ask-2012.csv"), )
self.engine.add_instrument(self.gbpusd)
self.engine.add_bars(bid_bars)
self.engine.add_bars(ask_bars)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=self.venue,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
def test_run_with_ema_cross_strategy():
# Arrange
engine = BacktestEngine(bypass_logging=True)
engine.add_instrument(USDJPY_SIM)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid(),
)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask(),
)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.BROKERAGE,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
strategy = EMACross(
instrument_id=USDJPY_SIM.id,
bar_spec=TestStubs.bar_spec_1min_bid(),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 3, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_backtest_run_ema.prof"
cProfile.runctx(
"engine.run(start, stop, strategies=[strategy])",
globals(),
locals(),
stats_file,
)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
def setup():
config = BacktestEngineConfig(bypass_logging=True)
engine = BacktestEngine(config=config)
# Setup data
wrangler = QuoteTickDataWrangler(USDJPY_SIM)
provider = TestDataProvider()
ticks = wrangler.process_bar_data(
bid_data=provider.read_csv_bars("fxcm-usdjpy-m1-bid-2013.csv"),
ask_data=provider.read_csv_bars("fxcm-usdjpy-m1-ask-2013.csv"),
)
engine.add_instrument(USDJPY_SIM)
engine.add_ticks(ticks)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.BROKERAGE,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
config = EMACrossConfig(
instrument_id=str(USDJPY_SIM.id),
bar_type=str(TestStubs.bartype_usdjpy_1min_bid()),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
end = datetime(2013, 3, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
return (engine, start, end, [strategy]), {}
def setUp(self):
# Fixture Setup
self.venue = Venue("SIM")
self.gbpusd = TestInstrumentProvider.default_fx_ccy("GBP/USD")
data = BacktestDataContainer()
data.add_instrument(self.gbpusd)
data.add_bars(
self.gbpusd.id,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.gbpusd_1min_bid(),
)
data.add_bars(
self.gbpusd.id,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.gbpusd_1min_ask(),
)
self.engine = BacktestEngine(
data=data,
strategies=[TradingStrategy("000")],
bypass_logging=True,
)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT + "/data/", "short-term-interest.csv")
)
fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
self.engine.add_exchange(
venue=self.venue,
oms_type=OMSType.HEDGING,
starting_balances=[Money(1_000_000, GBP)],
modules=[fx_rollover_interest],
)
ticks = wrangler.process(provider.read_csv_ticks("truefx-audusd-ticks.csv"))
engine.add_instrument(AUDUSD_SIM)
engine.add_ticks(ticks)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_on_limit=0.2,
prob_fill_on_stop=0.95,
prob_slippage=0.5,
random_seed=42,
)
# Optional plug in module to simulate rollover interest,
# the data is coming from packaged test data.
interest_rate_data = provider.read_csv("short-term-interest.csv")
fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
# Add an exchange (multiple exchanges possible)
# Add starting balances for single-currency or multi-currency accounts
engine.add_venue(
venue=SIM,
oms_type=OMSType.HEDGING, # Venue will generate position IDs
account_type=AccountType.MARGIN,
base_currency=USD, # Standard single-currency account
starting_balances=[Money(1_000_000, USD)],
fill_model=fill_model,
modules=[fx_rollover_interest],
)
# Configure your strategy
config = EMACrossConfig(