def update_bars(self):
"""get data from exchange"""
if len(self.bars) < 10:
self.bars = self.exchange.get_bars(self.settings.MINUTES_PER_BAR,
0)
else:
new_bars = self.exchange.recent_bars(self.settings.MINUTES_PER_BAR,
0)
for b in reversed(new_bars):
if b.tstamp < self.bars[0].tstamp:
continue
elif b.tstamp == self.bars[0].tstamp:
# merge?
if b.subbars[-1].tstamp == self.bars[0].subbars[-1].tstamp:
b.bot_data = self.bars[
0].bot_data # merge bot data to not loose it
self.bars[0] = b
else:
# merge!
first = self.bars[0].subbars[-1]
newBar = Bar(tstamp=b.tstamp,
open=first.open,
high=first.high,
low=first.low,
close=first.close,
volume=first.volume,
subbars=[first])
for sub in reversed(self.bars[0].subbars[:-1]):
if sub.tstamp < b.subbars[-1].tstamp:
newBar.add_subbar(sub)
else:
break
for sub in reversed(b.subbars):
if sub.tstamp > newBar.subbars[0].tstamp:
newBar.add_subbar(sub)
else:
continue
newBar.bot_data = self.bars[
0].bot_data # merge bot data to not loose it
self.bars[0] = newBar
else: # b.tstamp > self.bars[0].tstamp
self.bars.insert(0, b)
del self.bars[400:]
for bar in self.bars[3:]:
# remove minute data from older bars
bar.subbars = []
def run(self):
self.reset()
self.logger.info("starting backtest with " + str(len(self.bars)) +
" bars and " + str(self.account.equity) + " equity")
for i in range(self.bot.min_bars_needed(), len(self.bars)):
if i == len(self.bars) - 1 or i < self.bot.min_bars_needed():
continue # ignore last bar and first x
# slice bars. TODO: also slice intrabar to simulate tick
self.current_bars = self.bars[-(i + 1):]
# add one bar with 1 tick on open to show to bot that the old one is closed
next_bar = self.bars[-i - 2]
forming_bar = Bar(tstamp=next_bar.tstamp,
open=next_bar.open,
high=next_bar.open,
low=next_bar.open,
close=next_bar.open,
volume=0,
subbars=[])
self.current_bars.insert(0, forming_bar)
self.current_bars[0].did_change = True
self.current_bars[1].did_change = True
self.do_funding()
# self.bot.on_tick(self.current_bars, self.account)
for subbar in reversed(next_bar.subbars):
# check open orders & update account
self.handle_open_orders(subbar)
open = len(self.account.open_orders)
forming_bar.add_subbar(subbar)
self.bot.on_tick(self.current_bars, self.account)
if open != len(self.account.open_orders):
self.handle_open_orders(subbar) # got new ones
self.current_bars[1].did_change = False
next_bar.bot_data = forming_bar.bot_data
for b in self.current_bars:
if b.did_change:
b.did_change = False
else:
break # no need to go further
if self.account.open_position.quantity != 0:
self.send_order(
Order(orderId="endOfTest",
amount=-self.account.open_position.quantity))
self.handle_open_orders(self.bars[0].subbars[-1])
if len(self.bot.position_history) > 0:
daysInPos = 0
maxDays = 0
minDays = self.bot.position_history[0].daysInPos() if len(
self.bot.position_history) > 0 else 0
for pos in self.bot.position_history:
if pos.status != PositionStatus.CLOSED:
continue
if pos.exit_tstamp is None:
pos.exit_tstamp = self.bars[0].tstamp
daysInPos += pos.daysInPos()
maxDays = max(maxDays, pos.daysInPos())
minDays = min(minDays, pos.daysInPos())
daysInPos /= len(self.bot.position_history)
profit = self.account.equity - self.initialEquity
uw_updates_per_day = 1440 # every minute
total_days = (self.bars[0].tstamp -
self.bars[-1].tstamp) / (60 * 60 * 24)
rel = profit / (self.maxDD if self.maxDD > 0 else 1)
rel_per_year = rel / (total_days / 365)
self.logger.info(
"finished | closed pos: " +
str(len(self.bot.position_history)) + " | open pos: " +
str(len(self.bot.open_positions)) + " | profit: " +
("%.2f" % (100 * profit / self.initialEquity)) + " | HH: " +
("%.2f" % (100 * (self.hh / self.initialEquity - 1))) +
" | maxDD: " + ("%.2f" %
(100 * self.maxDD / self.initialEquity)) +
" | maxExp: " + ("%.2f" %
(self.maxExposure / self.initialEquity)) +
" | rel: " + ("%.2f" % (rel_per_year)) + " | UW days: " +
("%.1f" % (self.max_underwater / uw_updates_per_day)) +
" | pos days: " + ("%.1f/%.1f/%.1f" %
(minDays, daysInPos, maxDays)))
else:
self.logger.info("finished with no trades")
#self.write_results_to_files()
return self
