def test_descriptive_stats():
check_values = []
scheduler = HistoricNetworkScheduler(0, 1000)
network = scheduler.get_network()
values = From(scheduler, [0.0, 3.2, 2.1, 2.9, 8.3, 5.7])
max_value = Max(network, values)
min_value = Min(network, values)
avg = Mean(network, values)
stddev = Stddev(network, values)
check_values.extend([max_value, min_value, avg, stddev])
# noinspection PyUnusedLocal
def print_stats(params):
print(f"min = {min_value.get_value()}; max = {max_value.get_value()}; "
f"avg = {avg.get_value():.2f}; stddev = {stddev.get_value():.2f}")
Lambda(network, [min_value, max_value, avg, stddev], print_stats)
scheduler.run()
assert check_values[0].get_value() == 8.3
assert check_values[1].get_value() == 0.0
assert math.isclose(check_values[2].get_value(), 3.7, abs_tol=0.00001)
assert math.isclose(check_values[3].get_value(), 3.24507, abs_tol=0.00001)
def test_filter():
scheduler = HistoricNetworkScheduler(0, 30 * 1000)
network = scheduler.get_network()
values = From(scheduler, [0.0, -3.2, 2.1, -2.9, 8.3, -5.7])
filt = Filter(network, values, lambda x: x >= 0.0)
Do(network, filt, lambda: print(f'{filt.get_value()}'))
scheduler.run()
assert filt.get_value() == 8.3
def test_map_reduce():
scheduler = HistoricNetworkScheduler(0, 30 * 1000)
network = scheduler.get_network()
values = From(scheduler, [0.0, 3.2, 2.1, 2.9, 8.3, 5.7])
mapper = Map(network, values, lambda x: round(x))
accumulator = Scan(network, mapper)
Do(network, accumulator, lambda: print(f'{accumulator.get_value()}'))
scheduler.run()
assert accumulator.get_value() == 22.0
def __init__(self, config: BacktestConfig):
logger = logging.getLogger(__name__)
logger.info('Serenity backtester starting up')
sys.path.append(str(config.get_strategy_basedir()))
bt_env = config.get_env()
exchange_id = bt_env.getenv('EXCHANGE_ID', 'autofill')
instance_id = bt_env.getenv('EXCHANGE_INSTANCE', 'prod')
account = bt_env.getenv('EXCHANGE_ACCOUNT', 'Main')
self.logger.info('Connecting to Serenity database')
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
self.scheduler = HistoricNetworkScheduler(
config.get_start_time_millis(), config.get_end_time_millis())
instrument_cache = InstrumentCache(cur, TypeCodeCache(cur))
oms = OrderManagerService(self.scheduler)
md_service = AzureHistoricMarketdataService(
self.scheduler, bt_env.getenv('AZURE_CONNECT_STR'))
mark_service = MarketdataMarkService(self.scheduler.get_network(),
md_service)
op_service = OrderPlacerService(self.scheduler, oms)
op_service.register_order_placer(
f'{exchange_id}:{instance_id}',
AutoFillOrderPlacer(self.scheduler, oms, md_service, account))
xps = NullExchangePositionService(self.scheduler)
extra_outputs_txt = bt_env.getenv('EXTRA_OUTPUTS')
if extra_outputs_txt is None:
extra_outputs = []
else:
extra_outputs = extra_outputs_txt.split(',')
self.dcs = HDF5DataCaptureService(Mode.BACKTEST, self.scheduler,
extra_outputs)
# wire up orders and fills from OMS
Do(self.scheduler.get_network(), oms.get_orders(),
lambda: self.dcs.capture_order(oms.get_orders().get_value()))
Do(self.scheduler.get_network(), oms.get_order_events(),
lambda: self.dcs.capture_fill(oms.get_order_events().get_value()))
self.strategy_name = config.get_strategy_name()
strategy_env = config.get_strategy_env()
ctx = StrategyContext(self.scheduler, instrument_cache, md_service,
mark_service, op_service,
PositionService(self.scheduler, oms), xps,
self.dcs, strategy_env.values)
strategy_instance = config.get_strategy_instance()
strategy_instance.init(ctx)
strategy_instance.start()
def test_running_sum():
check_values = []
scheduler = HistoricNetworkScheduler(0, 1000)
network = scheduler.get_network()
values = From(scheduler, [0.0, 3.2, 2.1, 2.9, 8.3, 5.7])
total = RunningSum(network, values)
check_values.append(total)
Lambda(network, total, lambda x: print(f'{x[0].get_value():.2f}'))
scheduler.run()
assert check_values[0].get_value() == 22.2
def __init__(self, scheduler: HistoricNetworkScheduler,
azure_connect_str: str):
self.scheduler = scheduler
self.azure_connect_str = azure_connect_str
self.subscribed_instruments = MutableSignal()
self.scheduler.get_network().attach(self.subscribed_instruments)
self.start_time = scheduler.get_clock().get_start_time()
self.end_time = scheduler.get_clock().get_end_time()
self.all_subscribed = set()
self.book_signal_by_symbol = {}
self.trade_signal_by_symbol = {}
def __init__(self, scheduler: HistoricNetworkScheduler):
self.scheduler = scheduler
self.subscribed_instruments = MutableSignal()
self.scheduler.get_network().attach(self.subscribed_instruments)
self.start_time = scheduler.get_clock().get_start_time()
self.end_time = scheduler.get_clock().get_end_time()
self.all_subscribed = set()
self.book_signal_by_symbol = {}
self.trade_signal_by_symbol = {}
self.credential = DeviceCodeCredential(client_id=get_global_defaults()['azure']['client_id'],
tenant_id=get_global_defaults()['azure']['tenant_id'])
def test_oms_cancel_not_pending(mocker: MockFixture):
scheduler = HistoricNetworkScheduler(0, 1000)
oms = OrderManagerService(scheduler)
order_events = []
Do(scheduler.get_network(), oms.get_order_events(),
lambda: order_events.append(oms.get_order_events().get_value()))
instrument = mocker.MagicMock(ExchangeInstrument)
order = MarketOrder(10, instrument, Side.BUY, 'Main')
order.set_order_id(str(uuid1()))
oms.pending_new(order)
oms.new(order, str(uuid1()))
oms.apply_cancel(order, str(uuid1()))
scheduler.run()
assert (isinstance(order_events[2], CancelReject))
assert (order_events[2].get_message() ==
'Attempt to apply cancel when not pending')
def test_oms_late_fill(mocker: MockFixture):
scheduler = HistoricNetworkScheduler(0, 1000)
oms = OrderManagerService(scheduler)
order_events = []
Do(scheduler.get_network(), oms.get_order_events(),
lambda: order_events.append(oms.get_order_events().get_value()))
instrument = mocker.MagicMock(ExchangeInstrument)
order = MarketOrder(10, instrument, Side.BUY, 'Main')
order.set_order_id(str(uuid1()))
oms.pending_new(order)
oms.new(order, str(uuid1()))
oms.pending_cancel(order)
oms.apply_cancel(order, str(uuid1()))
oms.apply_fill(order, 1, 10_000, str(uuid1()))
scheduler.run()
assert (isinstance(order_events[4], Reject))
assert (order_events[4].get_message() == 'Order canceled')
def test_oms_regular_sequence(mocker: MockFixture):
scheduler = HistoricNetworkScheduler(0, 1000)
oms = OrderManagerService(scheduler)
order_statuses = []
Do(
scheduler.get_network(), oms.get_order_events(), lambda: order_statuses
.append(oms.get_order_events().get_value().get_order_status()))
instrument = mocker.MagicMock(ExchangeInstrument)
order = MarketOrder(10, instrument, Side.BUY, 'Main')
order.set_order_id(str(uuid1()))
oms.pending_new(order)
oms.new(order, str(uuid1()))
oms.apply_fill(order, 1, 10_000, str(uuid1()))
oms.pending_cancel(order)
oms.apply_cancel(order, str(uuid1()))
scheduler.run()
assert (order_statuses == [
OrderStatus.PENDING_NEW, OrderStatus.NEW, OrderStatus.PARTIALLY_FILLED,
OrderStatus.PENDING_CANCEL, OrderStatus.CANCELED
])
def test_routing_marketdata_service(mocker: MockFixture):
scheduler = HistoricNetworkScheduler(0, 1000)
mds1 = mocker.MagicMock(MarketdataService)
mds2 = mocker.MagicMock(MarketdataService)
rules = CompositeRoutingRule([
ExchangeRoutingRule('POLYGON', mds1),
ExchangeRoutingRule('PHEMEX', mds2)
])
router = RoutingMarketdataService(scheduler.get_network(), rules)
# noinspection DuplicatedCode
venue_type = VenueType(-1, 'DataAggregator')
exch1 = Exchange(-1, venue_type, 'POLYGON', 'Polygon.io')
instr_type1 = InstrumentType(-1, 'ETF')
instr1 = Instrument(-1, instr_type1, 'SPY')
xinstr1 = ExchangeInstrument(-1, exch1, instr1, 'SPY')
venue_type = VenueType(-1, 'CryptoExchange')
exch2 = Exchange(-1, venue_type, 'PHEMEX', 'Phemex')
instr_type2 = InstrumentType(-1, 'CurrencyPair')
instr2 = Instrument(-1, instr_type2, 'BTCUSD')
xinstr2 = ExchangeInstrument(-1, exch2, instr2, 'BTCUSD')
assert router.get_subscribed_instruments() is not None
assert router.get_order_book_events(
xinstr1) is mds1.get_order_book_events()
assert router.get_order_book_events(
xinstr2) is mds2.get_order_book_events()
assert router.get_order_books(xinstr1) is mds1.get_order_books()
assert router.get_order_books(xinstr2) is mds2.get_order_books()
assert router.get_trades(xinstr1) is mds1.get_trades()
assert router.get_trades(xinstr2) is mds2.get_trades()
scheduler.run()
def test_repeating_timer():
# run for one minute
scheduler = HistoricNetworkScheduler(0, 60 * 1000)
tz = pytz.timezone('US/Eastern')
timer = RepeatingTimer(scheduler, datetime.timedelta(seconds=15))
timestamps = list()
Do(scheduler.get_network(), timer,
lambda: timestamps.append(scheduler.get_clock().get_time(tz)))
scheduler.run()
assert len(timestamps) == 4
assert str(timestamps[3]) == '1969-12-31 19:01:00-05:00'
def test_alarm():
# run for one day
scheduler = HistoricNetworkScheduler(0, 60 * 60 * 24 * 1000)
# schedule at 4pm US/Eastern
tz = pytz.timezone('US/Eastern')
alarm = Alarm(scheduler, datetime.time(16, 00, 00), tz)
timestamps = list()
Do(scheduler.get_network(), alarm,
lambda: timestamps.append(scheduler.get_clock().get_time(tz)))
scheduler.run()
assert len(timestamps) == 1
def main(config_path: str, strategy_dir: str, start_time: str, end_time: str):
init_logging()
config = toml.load(config_path)
strategy_module = config['strategy']['module']
strategy_class = config['strategy']['class']
loader = StrategyLoader(Path(strategy_dir))
strategy_instance = loader.load(strategy_module, strategy_class)
scheduler = HistoricNetworkScheduler.new_instance(start_time, end_time)
backtester = InvestmentStrategyBacktester(scheduler)
portfolio = backtester.run(strategy_instance, config)
scheduler.run()
for account in portfolio.get_accounts():
print(f'Account: [{account.get_name()}]')
print(f'\tcash: {account.get_cash_balance().get_balance()}')
for position in account.get_positions():
print(
f'\t{position.get_tradable().get_symbol()}: {position.get_qty()} shares ({position.get_notional()})'
)
def test_hello_world():
scheduler = HistoricNetworkScheduler(0, 30 * 1000)
signal = From(scheduler, ['world'])
Do(scheduler.get_network(), signal,
lambda: print(f'Hello, {signal.get_value()}!'))
scheduler.run()
def test_buffer_with_time_historic():
scheduler = HistoricNetworkScheduler(0, 30 * 1000)
network = scheduler.get_network()
values = MutableSignal()
scheduler.schedule_update_at(values, 1.0, 1000)
scheduler.schedule_update_at(values, -3.2, 2000)
scheduler.schedule_update_at(values, 2.1, 10000)
scheduler.schedule_update_at(values, -2.9, 15000)
scheduler.schedule_update_at(values, 8.3, 25000)
scheduler.schedule_update_at(values, -5.7, 30000)
buffer = BufferWithTime(scheduler, values, timedelta(seconds=5))
Do(network, buffer, lambda: print(f'{buffer.get_value()}'))
scheduler.run()
