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()