def _simulate_price_change_effect(real_candle: np.ndarray, exchange: str,
symbol: str) -> None:
orders = store.orders.get_orders(exchange, symbol)
current_temp_candle = real_candle.copy()
executed_order = False
while True:
if len(orders) == 0:
executed_order = False
else:
for index, order in enumerate(orders):
if index == len(orders) - 1 and not order.is_active:
executed_order = False
if not order.is_active:
continue
if candle_includes_price(current_temp_candle, order.price):
storable_temp_candle, current_temp_candle = split_candle(
current_temp_candle, order.price)
store.candles.add_candle(storable_temp_candle,
exchange,
symbol,
'1m',
with_execution=False,
with_generation=False)
p = selectors.get_position(exchange, symbol)
p.current_price = storable_temp_candle[2]
executed_order = True
order.execute()
# break from the for loop, we'll try again inside the while
# loop with the new current_temp_candle
break
else:
executed_order = False
if not executed_order:
# add/update the real_candle to the store so we can move on
store.candles.add_candle(real_candle,
exchange,
symbol,
'1m',
with_execution=False,
with_generation=False)
p = selectors.get_position(exchange, symbol)
if p:
p.current_price = real_candle[2]
break
_check_for_liquidations(real_candle, exchange, symbol)
def execute(self, silent=False) -> None:
if self.is_canceled or self.is_executed:
return
self.executed_at = jh.now_to_timestamp()
self.status = order_statuses.EXECUTED
if jh.is_live():
self.save()
if not silent:
txt = f'EXECUTED order: {self.symbol}, {self.type}, {self.side}, {self.qty}'
if self.price:
txt += f', ${round(self.price, 2)}'
# log
if jh.is_debuggable('order_execution'):
logger.info(txt)
# notify
if jh.is_live():
self.broadcast()
if config['env']['notifications']['events']['executed_orders']:
notify(txt)
p = selectors.get_position(self.exchange, self.symbol)
if p:
p._on_executed_order(self)
# handle exchange balance for ordered asset
e = selectors.get_exchange(self.exchange)
e.on_order_execution(self)
def available_margin(self, symbol: str = '') -> float:
# a temp which gets added to per each asset (remember that all future assets use the same currency for settlement)
temp_credits = self.assets[self.settlement_currency]
# we need to consider buy and sell orders of ALL pairs
# also, consider the value of all open positions
for asset in self.assets:
if asset == self.settlement_currency:
continue
position = selectors.get_position(self.name, f"{asset}-{self.settlement_currency}")
if position is None:
continue
if position.is_open:
# add unrealized PNL
temp_credits += position.pnl
# only which of these has actual values, so we can count all of them!
sum_buy_orders = (self.buy_orders[asset][:][:, 0] * self.buy_orders[asset][:][:, 1]).sum()
sum_sell_orders = (self.sell_orders[asset][:][:, 0] * self.sell_orders[asset][:][:, 1]).sum()
if position.is_open:
temp_credits -= position.total_cost
# Subtract the amount we paid for open orders. Notice that this does NOT include
# reduce_only orders so either sum_buy_orders or sum_sell_orders is zero. We also
# care about the cost we actually paid for it which takes into account the leverage
temp_credits -= max(
abs(sum_buy_orders) / self.futures_leverage, abs(sum_sell_orders) / self.futures_leverage
)
# count in the leverage
return temp_credits * self.futures_leverage
def set_up_without_fee(is_margin_trading=False):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 1000
},
{
'asset': 'BTC',
'balance': 0
},
]
if is_margin_trading:
# used only in margin trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
config['env']['exchanges'][
exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
def cancel(self):
"""
:return:
"""
if self.is_canceled or self.is_executed:
return
self.canceled_at = jh.now()
self.status = order_statuses.CANCELED
if jh.is_debuggable('order_cancellation'):
logger.info(
'CANCELED order: {}, {}, {}, {}, ${}'.format(
self.symbol, self.type, self.side, self.qty, round(self.price, 2)
)
)
# notify
if jh.is_live() and config['env']['notifications']['events']['cancelled_orders']:
notify(
'CANCELED order: {}, {}, {}, {}, {}'.format(
self.symbol, self.type, self.side, self.qty, round(self.price, 2)
)
)
p = selectors.get_position(self.exchange, self.symbol)
if p:
p._on_canceled_order(self)
def test_backtesting_three_routes():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'ETHUSD', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'XRPUSD', timeframes.MINUTE_15, 'Test19'),
])
store.reset(True)
candles = {}
routes = router.routes
for r in routes:
key = jh.key(r.exchange, r.symbol)
candles[key] = {
'exchange': r.exchange,
'symbol': r.symbol,
'candles': fake_range_candle(5 * 3 * 20)
}
# assert that strategy hasn't been initiated before running backtest_mode()
assert r.strategy is None
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
# there must be three positions present with the updated current_price
assert len(store.positions.storage) == 3
for r in routes:
# r3's '15m' timeframe makes r1 and r2 to support
# '15' timeframe as well. r1 and r2 also make r3
# to support '5m' timeframe also.
r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m')
r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m')
r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m')
# assert the count of present candles
assert len(r_one_min) == (5 * 3) * 20
assert len(r_five_min) == 20 * 3
assert len(r_fifteen_min) == 20
r_first_1 = r_one_min[0]
r_last_1 = r_one_min[-1]
r_first_5 = r_five_min[0]
r_last_5 = r_five_min[-1]
r_first_15 = r_fifteen_min[0]
r_last_15 = r_fifteen_min[-1]
# assert timestamps
assert r_first_1[0] == r_first_5[0]
assert r_last_1[0] == (r_last_5[0] + 60000 * 4)
assert r_last_5[0] == (r_last_15[0] + 60000 * 10)
# assert positions
p = selectors.get_position(r.exchange, r.symbol)
assert p.is_close is True
last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1]
assert p.current_price == last_candle[2]
# assert that the strategy has been initiated
assert r.strategy is not None
def _check_for_liquidations(candle: np.ndarray, exchange: str, symbol: str) -> None:
p: Position = selectors.get_position(exchange, symbol)
if not p:
return
# for now, we only support the isolated mode:
if p.mode != 'isolated':
return
if candle_includes_price(candle, p.liquidation_price):
closing_order_side = jh.closing_side(p.type)
# create the market order that is used as the liquidation order
order = Order({
'id': jh.generate_unique_id(),
'symbol': symbol,
'exchange': exchange,
'side': closing_order_side,
'type': order_types.MARKET,
'flag': order_flags.REDUCE_ONLY,
'qty': jh.prepare_qty(p.qty, closing_order_side),
'price': p.bankruptcy_price,
'role': order_roles.CLOSE_POSITION
})
store.orders.add_order(order)
store.app.total_liquidations += 1
logger.info(f'{p.symbol} liquidated at {p.liquidation_price}')
order.execute()
def execute(self):
if self.is_canceled or self.is_executed:
return
self.executed_at = jh.now_to_timestamp()
self.status = order_statuses.EXECUTED
# log
if jh.is_debuggable('order_execution'):
logger.info('EXECUTED order: {}, {}, {}, {}, ${}'.format(
self.symbol, self.type, self.side, self.qty,
round(self.price, 2)))
# notify
if jh.is_live(
) and config['env']['notifications']['events']['executed_orders']:
notify('EXECUTED order: {}, {}, {}, {}, {}'.format(
self.symbol, self.type, self.side, self.qty,
round(self.price, 2)))
p = selectors.get_position(self.exchange, self.symbol)
if p:
p._on_executed_order(self)
# handle exchange balance for ordered asset
e = selectors.get_exchange(self.exchange)
e.on_order_execution(self)
def available_margin(self, symbol: str = '') -> float:
temp_credit = self.assets[self.settlement_currency] * self.futures_leverage
# we need to consider buy and sell orders of ALL pairs
# also, consider the value of all open positions
for asset in self.assets:
if asset == self.settlement_currency:
continue
position = selectors.get_position(self.name, asset + "-" + self.settlement_currency)
if position is None:
continue
if position.is_open:
# add unrealized PNL
temp_credit += position.pnl
# subtract worst scenario orders' used margin
sum_buy_orders = (self.buy_orders[asset][:][:, 0] * self.buy_orders[asset][:][:, 1]).sum()
sum_sell_orders = (self.sell_orders[asset][:][:, 0] * self.sell_orders[asset][:][:, 1]).sum()
if position.is_open:
if position.type == 'long':
sum_buy_orders += position.value
else:
sum_sell_orders -= abs(position.value)
temp_credit -= max(abs(sum_buy_orders), abs(sum_sell_orders))
return temp_credit
def test_strategy_properties():
set_up([
(exchanges.SANDBOX, 'ETHUSDT', timeframes.MINUTE_5, 'Test19'),
(exchanges.SANDBOX, 'BTCUSDT', timeframes.MINUTE_5, 'Test19'),
])
candles = {}
routes = router.routes
for r in routes:
key = jh.key(r.exchange, r.symbol)
candles[key] = {
'exchange': r.exchange,
'symbol': r.symbol,
'candles': fake_range_candle((5 * 3) * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
for r in routes:
s: Strategy = r.strategy
assert s.name == r.strategy_name
assert s.symbol == r.symbol
assert s.exchange == r.exchange
assert s.timeframe == r.timeframe
assert s.trade is None
assert s._is_executing is False
assert s._is_initiated is True
np.testing.assert_equal(s.current_candle, store.candles.get_current_candle(r.exchange, r.symbol, r.timeframe))
np.testing.assert_equal(s.candles, store.candles.get_candles(r.exchange, r.symbol, r.timeframe))
assert s.position == selectors.get_position(r.exchange, r.symbol)
assert s.orders == store.orders.get_orders(r.exchange, r.symbol)
def set_up_with_fee(is_futures_trading=False):
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002
config['env']['exchanges'][exchanges.SANDBOX]['assets'] = [
{
'asset': 'USDT',
'balance': 1000
},
{
'asset': 'BTC',
'balance': 0
},
]
if is_futures_trading:
# used only in futures trading
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
else:
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'spot'
config['env']['exchanges'][
exchanges.SANDBOX]['settlement_currency'] = 'USDT'
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTC-USDT', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTC-USDT',
timeframes.MINUTE_5)
def _init_objects(self):
"""
This method gets called after right creating the Strategy object. It
is just a workaround as a part of not being able to set them inside
self.__init__() for the purpose of removing __init__() methods from strategies.
"""
self.position = selectors.get_position(self.exchange, self.symbol)
self.broker = Broker(self.position, self.exchange, self.symbol, self.timeframe)
def test_backtesting_one_route():
reset_config()
router.set_routes([
(exchanges.SANDBOX, 'BTC-USDT', timeframes.MINUTE_5, 'Test19')
])
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'margin'
store.reset(True)
candles = {}
key = jh.key(exchanges.SANDBOX, 'BTC-USDT')
candles[key] = {
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'candles': fake_range_candle(5 * 20)
}
routes = router.routes
# assert that strategy hasn't been initiated before running backtest_mode()
assert routes[0].strategy is None
# run backtest (dates are fake just to pass)
backtest_mode.run('2019-04-01', '2019-04-02', candles)
one_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '1m')
five_min = store.candles.get_candles(exchanges.SANDBOX, 'BTC-USDT', '5m')
# assert the count of present candles
assert len(five_min) == 20
assert len(one_min) == 20 * 5
first_1 = one_min[0]
last_1 = one_min[-1]
first_5 = five_min[0]
last_5 = five_min[-1]
# assert time in store
assert store.app.time == last_1[0] + 60000
# assert timestamps
assert first_1[0] == first_5[0]
assert last_1[0] == (last_5[0] + 60000 * 4)
# there must be only one positions present
assert len(store.positions.storage) == 1
p = selectors.get_position(exchanges.SANDBOX, 'BTC-USDT')
assert p.is_close
assert p.current_price == last_1[2]
assert p.current_price == last_5[2]
# assert routes
assert len(routes) == 1
assert routes[0].exchange == exchanges.SANDBOX
assert routes[0].symbol == 'BTC-USDT'
assert routes[0].timeframe == '5m'
assert routes[0].strategy_name == 'Test19'
# assert that the strategy has been initiated
assert routes[0].strategy is not None
def update_position(exchange: str, symbol: str, candle: np.ndarray):
# get position object
p = selectors.get_position(exchange, symbol)
# for extra_route candles, p == None, hence no further action is required
if p is None:
return
# update position.current_price
p.current_price = jh.round_price_for_live_mode(candle[2], candle[2])
def _init_objects(self) -> None:
"""
This method gets called after right creating the Strategy object. It
is just a workaround as a part of not being able to set them inside
self.__init__() for the purpose of removing __init__() methods from strategies.
"""
self.position = selectors.get_position(self.exchange, self.symbol)
self.broker = Broker(self.position, self.exchange, self.symbol, self.timeframe)
if self.hp is None and len(self.hyperparameters()) > 0:
self.hp = {}
for dna in self.hyperparameters():
self.hp[dna['name']] = dna['default']
def update_position(exchange: str, symbol: str, candle: np.ndarray) -> None:
# get position object
p = selectors.get_position(exchange, symbol)
# for extra_route candles, p == None, hence no further action is required
if p is None:
return
price_precision = 0
if jh.is_live():
price_precision = selectors.get_exchange(exchange).vars['precisions'][symbol]['price_precision']
# update position.current_price
p.current_price = jh.round_price_for_live_mode(candle[2], candle[2], price_precision)
def __init__(self, attributes=None):
# id generated by Jesse for database usage
self.id = ''
# id generated by market, used in live-trade mode
self.exchange_id = ''
# some exchanges might require even further info
self.vars = {}
self.symbol = ''
self.exchange = ''
self.side = ''
self.type = ''
self.flag = ''
self.qty = 0
self.price = 0
self.status = order_statuses.ACTIVE
self.created_at = None
self.executed_at = None
self.canceled_at = None
self.role = None
if attributes is None:
attributes = {}
for a in attributes:
setattr(self, a, attributes[a])
if self.created_at is None:
self.created_at = jh.now_to_timestamp()
p = selectors.get_position(self.exchange, self.symbol)
if p:
if jh.is_live() and config['env']['notifications']['events']['submitted_orders']:
self.notify_submission()
if jh.is_debuggable('order_submission'):
logger.info(
'{} order: {}, {}, {}, {}, ${}'.format(
'QUEUED' if self.is_queued else 'SUBMITTED',
self.symbol, self.type, self.side, self.qty,
round(self.price, 2)
)
)
p._on_opened_order(self)
# handle exchange balance for ordered asset
e = selectors.get_exchange(self.exchange)
e.on_order_submission(self)
def set_up_with_fee():
reset_config()
config['env']['exchanges'][exchanges.SANDBOX]['fee'] = 0.002
config['env']['exchanges'][exchanges.SANDBOX]['starting_balance'] = 1000
config['app']['trading_mode'] = 'backtest'
config['app']['considering_exchanges'] = ['Sandbox']
router.set_routes([(exchanges.SANDBOX, 'BTCUSD', '5m', 'Test19')])
store.reset(True)
global position
global exchange
global broker
position = selectors.get_position(exchanges.SANDBOX, 'BTCUSD')
position.current_price = 50
exchange = selectors.get_exchange(exchanges.SANDBOX)
broker = Broker(position, exchanges.SANDBOX, 'BTCUSD', timeframes.MINUTE_5)
def __init__(self, attributes=None):
# id generated by Jesse for database usage
self.id = ''
# id generated by market
self.exchange_id = ''
self.symbol = ''
self.exchange = ''
self.side = ''
self.type = ''
self.flag = ''
self.qty = 0
self.price = 0
self.status = order_statuses.ACTIVE
self.created_at = None
self.executed_at = None
self.canceled_at = None
self.role = None
if attributes is None:
attributes = {}
for a in attributes:
setattr(self, a, attributes[a])
if self.created_at is None:
self.created_at = jh.now()
p = selectors.get_position(self.exchange, self.symbol)
if p:
p._on_opened_order(self)
if jh.is_live() and config['env']['notifications']['events']['submitted_orders']:
self.notify_submission()
if jh.is_debuggable('order_submission'):
logger.info(
'{} order: {}, {}, {}, {}, ${}'.format(
'QUEUED' if self.is_queued else 'SUBMITTED',
self.symbol, self.type, self.side, self.qty,
round(self.price, 2)
)
)
def test_strategy_properties():
two_routes_backtest('Test19', 'Test19')
for r in router.routes:
s: Strategy = r.strategy
assert s.name == r.strategy_name
assert s.symbol == r.symbol
assert s.exchange == r.exchange
assert s.timeframe == r.timeframe
assert s.trade is None
assert s._is_executing is False
assert s._is_initiated is True
np.testing.assert_equal(
s.current_candle,
store.candles.get_current_candle(r.exchange, r.symbol,
r.timeframe))
np.testing.assert_equal(
s.candles,
store.candles.get_candles(r.exchange, r.symbol, r.timeframe))
assert s.position == selectors.get_position(r.exchange, r.symbol)
assert s.orders == store.orders.get_orders(r.exchange, r.symbol)
def tradable_balance(self, symbol=''):
if self.type == 'spot':
if symbol == '':
raise ValueError
quote_asset = jh.quote_asset(symbol)
return self.available_assets[quote_asset]
else:
temp_credit = self.assets[self.settlement_currency]
# we need to consider buy and sell orders of ALL pairs
# also, consider the value of all open positions
for asset in self.assets:
if asset == self.settlement_currency:
continue
position = selectors.get_position(
self.name, asset + "-" + self.settlement_currency)
if position is None:
continue
if position.is_open:
# add unrealized PNL
temp_credit += position.pnl
# subtract worst scenario orders' used margin
sum_buy_orders = (self.buy_orders[asset][:][:, 0] *
self.buy_orders[asset][:][:, 1]).sum()
sum_sell_orders = (self.sell_orders[asset][:][:, 0] *
self.sell_orders[asset][:][:, 1]).sum()
if position.is_open:
if position.type == 'long':
sum_buy_orders += position.value
else:
sum_sell_orders -= abs(position.value)
temp_credit -= max(abs(sum_buy_orders), abs(sum_sell_orders))
return temp_credit
def simulator(
candles: dict, run_silently: bool, hyperparameters: dict = None
) -> None:
begin_time_track = time.time()
key = f"{config['app']['considering_candles'][0][0]}-{config['app']['considering_candles'][0][1]}"
first_candles_set = candles[key]['candles']
length = len(first_candles_set)
# to preset the array size for performance
try:
store.app.starting_time = first_candles_set[0][0]
except IndexError:
raise IndexError('Check your "warm_up_candles" config value')
store.app.time = first_candles_set[0][0]
# initiate strategies
for r in router.routes:
# if the r.strategy is str read it from file
if isinstance(r.strategy_name, str):
StrategyClass = jh.get_strategy_class(r.strategy_name)
# else it is a class object so just use it
else:
StrategyClass = r.strategy_name
try:
r.strategy = StrategyClass()
except TypeError:
raise exceptions.InvalidStrategy(
"Looks like the structure of your strategy directory is incorrect. Make sure to include the strategy INSIDE the __init__.py file."
"\nIf you need working examples, check out: https://github.com/jesse-ai/example-strategies"
)
except:
raise
r.strategy.name = r.strategy_name
r.strategy.exchange = r.exchange
r.strategy.symbol = r.symbol
r.strategy.timeframe = r.timeframe
# read the dna from strategy's dna() and use it for injecting inject hyperparameters
# first convert DNS string into hyperparameters
if len(r.strategy.dna()) > 0 and hyperparameters is None:
hyperparameters = jh.dna_to_hp(r.strategy.hyperparameters(), r.strategy.dna())
# inject hyperparameters sent within the optimize mode
if hyperparameters is not None:
r.strategy.hp = hyperparameters
# init few objects that couldn't be initiated in Strategy __init__
# it also injects hyperparameters into self.hp in case the route does not uses any DNAs
r.strategy._init_objects()
selectors.get_position(r.exchange, r.symbol).strategy = r.strategy
# add initial balance
save_daily_portfolio_balance()
progressbar = Progressbar(length, step=60)
for i in range(length):
# update time
store.app.time = first_candles_set[i][0] + 60_000
# add candles
for j in candles:
short_candle = candles[j]['candles'][i]
if i != 0:
previous_short_candle = candles[j]['candles'][i - 1]
short_candle = _get_fixed_jumped_candle(previous_short_candle, short_candle)
exchange = candles[j]['exchange']
symbol = candles[j]['symbol']
store.candles.add_candle(short_candle, exchange, symbol, '1m', with_execution=False,
with_generation=False)
# print short candle
if jh.is_debuggable('shorter_period_candles'):
print_candle(short_candle, True, symbol)
_simulate_price_change_effect(short_candle, exchange, symbol)
# generate and add candles for bigger timeframes
for timeframe in config['app']['considering_timeframes']:
# for 1m, no work is needed
if timeframe == '1m':
continue
count = jh.timeframe_to_one_minutes(timeframe)
# until = count - ((i + 1) % count)
if (i + 1) % count == 0:
generated_candle = generate_candle_from_one_minutes(
timeframe,
candles[j]['candles'][(i - (count - 1)):(i + 1)])
store.candles.add_candle(generated_candle, exchange, symbol, timeframe, with_execution=False,
with_generation=False)
# update progressbar
if not run_silently and i % 60 == 0:
progressbar.update()
sync_publish('progressbar', {
'current': progressbar.current,
'estimated_remaining_seconds': progressbar.estimated_remaining_seconds
})
# now that all new generated candles are ready, execute
for r in router.routes:
count = jh.timeframe_to_one_minutes(r.timeframe)
# 1m timeframe
if r.timeframe == timeframes.MINUTE_1:
r.strategy._execute()
elif (i + 1) % count == 0:
# print candle
if jh.is_debuggable('trading_candles'):
print_candle(store.candles.get_current_candle(r.exchange, r.symbol, r.timeframe), False,
r.symbol)
r.strategy._execute()
# now check to see if there's any MARKET orders waiting to be executed
store.orders.execute_pending_market_orders()
if i != 0 and i % 1440 == 0:
save_daily_portfolio_balance()
if not run_silently:
# print executed time for the backtest session
finish_time_track = time.time()
sync_publish('alert', {
'message': f'Successfully executed backtest simulation in: {round(finish_time_track - begin_time_track, 2)} seconds',
'type': 'success'
})
for r in router.routes:
r.strategy._terminate()
store.orders.execute_pending_market_orders()
# now that backtest is finished, add finishing balance
save_daily_portfolio_balance()
def simulator(candles, hyper_parameters=None):
begin_time_track = time.time()
key = '{}-{}'.format(config['app']['trading_exchanges'][0],
config['app']['trading_symbols'][0])
first_candles_set = candles[key]['candles']
length = len(first_candles_set)
# to preset the array size for performance
store.app.starting_time = first_candles_set[0][0]
# initiate strategies
for r in router.routes:
StrategyClass = jh.get_strategy_class(r.strategy_name)
# convert DNS string into hyper_parameters
if r.dna and hyper_parameters is None:
hyper_parameters = jh.dna_to_hp(StrategyClass.hyper_parameters(),
r.dna)
r.strategy = StrategyClass()
r.strategy.name = r.strategy_name
r.strategy.exchange = r.exchange
r.strategy.symbol = r.symbol
r.strategy.timeframe = r.timeframe
# init few objects that couldn't be initiated in Strategy __init__
r.strategy._init_objects()
# inject hyper parameters (used for optimize_mode)
if hyper_parameters is not None:
r.strategy.hp = hyper_parameters
selectors.get_position(r.exchange, r.symbol).strategy = r.strategy
# add initial balance
_save_daily_portfolio_balance()
with click.progressbar(length=length,
label='Executing simulation...') as progressbar:
for i in range(length):
# update time
store.app.time = first_candles_set[i][0] + 60_000
# add candles
for j in candles:
short_candle = candles[j]['candles'][i]
exchange = candles[j]['exchange']
symbol = candles[j]['symbol']
store.candles.add_candle(short_candle,
exchange,
symbol,
'1m',
with_execution=False,
with_generation=False)
# print short candle
if jh.is_debuggable('shorter_period_candles'):
print_candle(short_candle, True, symbol)
_simulate_price_change_effect(short_candle, exchange, symbol)
# generate and add candles for bigger timeframes
for timeframe in config['app']['considering_timeframes']:
# for 1m, no work is needed
if timeframe == '1m':
continue
count = jh.timeframe_to_one_minutes(timeframe)
until = count - ((i + 1) % count)
if (i + 1) % count == 0:
generated_candle = generate_candle_from_one_minutes(
timeframe,
candles[j]['candles'][(i - (count - 1)):(i + 1)])
store.candles.add_candle(generated_candle,
exchange,
symbol,
timeframe,
with_execution=False,
with_generation=False)
# update progressbar
if not jh.is_debugging() and not jh.should_execute_silently(
) and i % 60 == 0:
progressbar.update(60)
# now that all new generated candles are ready, execute
for r in router.routes:
count = jh.timeframe_to_one_minutes(r.timeframe)
# 1m timeframe
if r.timeframe == timeframes.MINUTE_1:
r.strategy._execute()
elif (i + 1) % count == 0:
# print candle
if jh.is_debuggable('trading_candles'):
print_candle(
store.candles.get_current_candle(
r.exchange, r.symbol, r.timeframe), False,
r.symbol)
r.strategy._execute()
# now check to see if there's any MARKET orders waiting to be executed
store.orders.execute_pending_market_orders()
if i != 0 and i % 1440 == 0:
_save_daily_portfolio_balance()
if not jh.should_execute_silently():
if jh.is_debuggable('trading_candles') or jh.is_debuggable(
'shorter_period_candles'):
print('\n')
# print executed time for the backtest session
finish_time_track = time.time()
print(
'Executed backtest simulation in: ',
'{} seconds'.format(round(finish_time_track - begin_time_track,
2)))
for r in router.routes:
r.strategy._terminate()
# now that backtest is finished, add finishing balance
_save_daily_portfolio_balance()
def simulator(candles: Dict[str, Dict[str, Union[str, np.ndarray]]],
hyperparameters=None) -> None:
begin_time_track = time.time()
key = '{}-{}'.format(config['app']['considering_candles'][0][0],
config['app']['considering_candles'][0][1])
first_candles_set = candles[key]['candles']
length = len(first_candles_set)
# to preset the array size for performance
store.app.starting_time = first_candles_set[0][0]
store.app.time = first_candles_set[0][0]
# initiate strategies
for r in router.routes:
StrategyClass = jh.get_strategy_class(r.strategy_name)
try:
r.strategy = StrategyClass()
except TypeError:
raise exceptions.InvalidStrategy(
"Looks like the structure of your strategy directory is incorrect. Make sure to include the strategy INSIDE the __init__.py file."
"\nIf you need working examples, check out: https://github.com/jesse-ai/example-strategies"
)
except:
raise
r.strategy.name = r.strategy_name
r.strategy.exchange = r.exchange
r.strategy.symbol = r.symbol
r.strategy.timeframe = r.timeframe
# inject hyper parameters (used for optimize_mode)
# convert DNS string into hyperparameters
if r.dna and hyperparameters is None:
hyperparameters = jh.dna_to_hp(r.strategy.hyperparameters(), r.dna)
# inject hyperparameters sent within the optimize mode
if hyperparameters is not None:
r.strategy.hp = hyperparameters
# init few objects that couldn't be initiated in Strategy __init__
# it also injects hyperparameters into self.hp in case the route does not uses any DNAs
r.strategy._init_objects()
selectors.get_position(r.exchange, r.symbol).strategy = r.strategy
# add initial balance
save_daily_portfolio_balance()
with click.progressbar(length=length,
label='Executing simulation...') as progressbar:
for i in range(length):
# update time
store.app.time = first_candles_set[i][0] + 60_000
# add candles
for j in candles:
short_candle = candles[j]['candles'][i]
if i != 0:
previous_short_candle = candles[j]['candles'][i - 1]
short_candle = _get_fixed_jumped_candle(
previous_short_candle, short_candle)
exchange = candles[j]['exchange']
symbol = candles[j]['symbol']
store.candles.add_candle(short_candle,
exchange,
symbol,
'1m',
with_execution=False,
with_generation=False)
# print short candle
if jh.is_debuggable('shorter_period_candles'):
print_candle(short_candle, True, symbol)
_simulate_price_change_effect(short_candle, exchange, symbol)
# generate and add candles for bigger timeframes
for timeframe in config['app']['considering_timeframes']:
# for 1m, no work is needed
if timeframe == '1m':
continue
count = jh.timeframe_to_one_minutes(timeframe)
until = count - ((i + 1) % count)
if (i + 1) % count == 0:
generated_candle = generate_candle_from_one_minutes(
timeframe,
candles[j]['candles'][(i - (count - 1)):(i + 1)])
store.candles.add_candle(generated_candle,
exchange,
symbol,
timeframe,
with_execution=False,
with_generation=False)
# update progressbar
if not jh.is_debugging() and not jh.should_execute_silently(
) and i % 60 == 0:
progressbar.update(60)
# now that all new generated candles are ready, execute
for r in router.routes:
count = jh.timeframe_to_one_minutes(r.timeframe)
# 1m timeframe
if r.timeframe == timeframes.MINUTE_1:
r.strategy._execute()
elif (i + 1) % count == 0:
# print candle
if jh.is_debuggable('trading_candles'):
print_candle(
store.candles.get_current_candle(
r.exchange, r.symbol, r.timeframe), False,
r.symbol)
r.strategy._execute()
# now check to see if there's any MARKET orders waiting to be executed
store.orders.execute_pending_market_orders()
if i != 0 and i % 1440 == 0:
save_daily_portfolio_balance()
if not jh.should_execute_silently():
if jh.is_debuggable('trading_candles') or jh.is_debuggable(
'shorter_period_candles'):
print('\n')
# print executed time for the backtest session
finish_time_track = time.time()
print(
'Executed backtest simulation in: ',
'{} seconds'.format(round(finish_time_track - begin_time_track,
2)))
for r in router.routes:
r.strategy._terminate()
store.orders.execute_pending_market_orders()
# now that backtest is finished, add finishing balance
save_daily_portfolio_balance()
def test_backtesting_three_routes():
reset_config()
routes = [{
'exchange': exchanges.SANDBOX,
'symbol': 'BTC-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'ETH-USDT',
'timeframe': timeframes.MINUTE_5,
'strategy': 'Test19'
}, {
'exchange': exchanges.SANDBOX,
'symbol': 'XRP-USDT',
'timeframe': timeframes.MINUTE_15,
'strategy': 'Test19'
}]
config['env']['exchanges'][exchanges.SANDBOX]['type'] = 'futures'
candles = {}
for r in routes:
key = jh.key(r['exchange'], r['symbol'])
candles[key] = {
'exchange': r['exchange'],
'symbol': r['symbol'],
'candles': range_candles(5 * 3 * 20)
}
# run backtest (dates are fake just to pass)
backtest_mode.run(False, {}, routes, [], '2019-04-01', '2019-04-02',
candles)
# there must be three positions present with the updated current_price
assert len(store.positions.storage) == 3
for r in router.routes:
# r3's '15m' timeframe makes r1 and r2 to support
# '15' timeframe as well. r1 and r2 also make r3
# to support '5m' timeframe also.
r_one_min = store.candles.get_candles(r.exchange, r.symbol, '1m')
r_five_min = store.candles.get_candles(r.exchange, r.symbol, '5m')
r_fifteen_min = store.candles.get_candles(r.exchange, r.symbol, '15m')
# assert the count of present candles
assert len(r_one_min) == (5 * 3) * 20
assert len(r_five_min) == 20 * 3
assert len(r_fifteen_min) == 20
r_first_1 = r_one_min[0]
r_last_1 = r_one_min[-1]
r_first_5 = r_five_min[0]
r_last_5 = r_five_min[-1]
r_last_15 = r_fifteen_min[-1]
# assert timestamps
assert r_first_1[0] == r_first_5[0]
assert r_last_1[0] == (r_last_5[0] + 60000 * 4)
assert r_last_5[0] == (r_last_15[0] + 60000 * 10)
# assert positions
p = selectors.get_position(r.exchange, r.symbol)
assert p.is_close is True
last_candle = store.candles.get_candles(r.exchange, r.symbol, '1m')[-1]
assert p.current_price == last_candle[2]
# assert that the strategy has been initiated
assert r.strategy is not None