"oanda": {
"api_token":
"OANDA_API_TOKEN", # value is the environment variable name
"account_id":
"OANDA_ACCOUNT_ID", # value is the environment variable name
},
}
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy1 = EMACross(
symbol=Symbol("AUD/USD", Venue("OANDA")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
fast_ema=10,
slow_ema=20,
trade_size=Decimal(10000),
)
strategy2 = EMACross(
symbol=Symbol("EUR/USD", Venue("OANDA")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
fast_ema=10,
slow_ema=20,
trade_size=Decimal(10000),
)
strategy3 = EMACross(
symbol=Symbol("GBP/USD", Venue("OANDA")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
instrument_id=GBPUSD.id,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.BID,
data=TestDataProvider.gbpusd_1min_bid(), # Stub data from the test kit
)
data.add_bars(
instrument_id=GBPUSD.id,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.ASK,
data=TestDataProvider.gbpusd_1min_ask(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = EMACross(
instrument_id=GBPUSD.id,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.BID),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_data_cache=
True, # Pre-cache data for increased performance on repeated runs
# exec_db_type="redis",
# exec_db_flush=False,
# bypass_logging=True
)
symbol=GBPUSD.symbol,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.BID,
data=TestDataProvider.gbpusd_1min_bid(), # Stub data from the test kit
)
data.add_bars(
symbol=GBPUSD.symbol,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.ASK,
data=TestDataProvider.gbpusd_1min_ask(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = EMACross(
symbol=GBPUSD.symbol,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.BID),
fast_ema=10,
slow_ema=20,
trade_size=Decimal(1_000_000),
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
# exec_db_type="redis",
)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_at_limit=0.2,
prob_fill_at_stop=0.95,
SIM = Venue("SIM")
symbol = Symbol("AUD/USD", SIM)
AUDUSD = TestInstrumentProvider.default_fx_ccy(symbol)
# Setup data container
data = BacktestDataContainer()
data.add_instrument(AUDUSD)
data.add_quote_ticks(
symbol=AUDUSD.symbol,
data=TestDataProvider.audusd_ticks(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = EMACross(
symbol=AUDUSD.symbol,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_at_limit=0.2,
prob_fill_at_stop=0.95,
prob_slippage=0.5,
random_seed=42,
)
# Build the backtest engine
engine = BacktestEngine(
instruments = CCXTInstrumentProvider(client=ccxt.binance(), load_all=True)
BINANCE = Venue("BINANCE")
instrument_id = InstrumentId(symbol=Symbol("ETH/USDT"), venue=BINANCE)
ETHUSDT_BINANCE = instruments.find(instrument_id)
# Setup data container
data = BacktestDataContainer()
data.add_instrument(ETHUSDT_BINANCE)
data.add_trade_ticks(ETHUSDT_BINANCE.id, TestDataProvider.ethusdt_trades())
# Instantiate your strategy
strategy = EMACross(
instrument_id=ETHUSDT_BINANCE.id,
bar_spec=BarSpecification(250, BarAggregation.TICK, PriceType.LAST),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("0.05"),
order_id_tag="001",
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_data_cache=
True, # Pre-cache data for increased performance on repeated runs
# exec_db_type="redis",
# bypass_logging=True
)
# Create a fill model (optional)
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
instrument_id = InstrumentId(
symbol=Symbol("ETH/USDT"),
venue=Venue("BINANCE"),
)
strategy = EMACross(
instrument_id=instrument_id,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("0.01"),
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Register your client factories with the node (can take user defined factories)
node.add_data_client_factory("CCXT", CCXTDataClientFactory)
node.add_exec_client_factory("CCXT", CCXTExecutionClientFactory)
node.build()
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
# BarSpecification options
# ------------------------
# price types include BID, ASK, MID, LAST
# Current aggregations TICK, SECOND, MINUTE, HOUR, DAY, VOLUME, VALUE
# These can be combined in any way, for example;
tick_bars = BarSpecification(100, BarAggregation.TICK, PriceType.LAST)
time_bars = BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST)
volu_bars = BarSpecification(100, BarAggregation.VOLUME, PriceType.MID)
valu_bars = BarSpecification(1_000_000, BarAggregation.VALUE, PriceType.MID)
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = EMACross(
symbol=Symbol("BTC/USD", Venue("BITMEX")),
bar_spec=time_bars,
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("10"),
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
# custom options into the configuration file or even use another configuration
# file.
# BarSpecification options;
# price types include BID, ASK, MID, LAST
# Current aggregations TICK, MINUTE, HOUR, DAY, VOLUME, VALUE
# These can be combined in any way for example
tick_bars = BarSpecification(100, BarAggregation.TICK, PriceType.LAST)
time_bars = BarSpecification(1, BarAggregation.MINUTE, PriceType.BID)
volu_bars = BarSpecification(100, BarAggregation.VOLUME, PriceType.MID)
valu_bars = BarSpecification(1_000_000, BarAggregation.VALUE, PriceType.MID)
strategy1 = EMACross(
symbol=Symbol("BTC/USDT", Venue("BINANCE")),
bar_spec=tick_bars,
fast_ema=10,
slow_ema=20,
trade_size=Decimal("0.001"),
)
strategy2 = EMACross(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=tick_bars,
fast_ema=10,
slow_ema=20,
trade_size=Decimal("0.1"),
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(
strategies=[strategy1, strategy2],
"account_id": "BITMEX_ACCOUNT_ID", # value is the environment variable key
"api_key": "BITMEX_API_KEY", # value is the environment variable key
"api_secret": "BITMEX_API_SECRET", # value is the environment variable key
"sandbox_mode": False, # If clients use the testnet
},
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = EMACross(
symbol=Symbol("BTC/USD", Venue("BITMEX")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("10"),
order_id_tag="002",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
# ------------------------
# price types include BID, ASK, MID, LAST
# Current aggregations TICK, SECOND, MINUTE, HOUR, DAY, VOLUME, VALUE
# These can be combined in any way, for example;
tick_bars = BarSpecification(100, BarAggregation.TICK, PriceType.LAST)
time_bars = BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST)
volu_bars = BarSpecification(100, BarAggregation.VOLUME, PriceType.MID)
valu_bars = BarSpecification(1_000_000, BarAggregation.VALUE, PriceType.MID)
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = EMACross(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=time_bars,
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("0.05"),
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
SIM = Venue("SIM")
symbol = Symbol("AUD/USD", SIM)
AUDUSD = TestInstrumentProvider.default_fx_ccy(symbol)
# Setup data container
data = BacktestDataContainer()
data.add_instrument(AUDUSD)
data.add_quote_ticks(
symbol=AUDUSD.symbol,
data=TestDataProvider.audusd_ticks(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = EMACross(
symbol=AUDUSD.symbol,
bar_spec=BarSpecification(100, BarAggregation.TICK, PriceType.MID),
fast_ema=10,
slow_ema=20,
trade_size=Decimal(1_000_000),
)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_at_limit=0.2,
prob_fill_at_stop=0.95,
prob_slippage=0.5,
random_seed=42,
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
# Add starting balances for single-currency or multi-currency accounts
engine.add_venue(
venue=SIM,
venue_type=VenueType.ECN,
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],
)
# Instantiate your strategy
strategy = EMACross(
instrument_id=AUDUSD.id,
bar_spec=BarSpecification(100, BarAggregation.TICK, PriceType.MID),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
)
input("Press Enter to continue...") # noqa (always Python 3)
# Run the engine from start to end of data
engine.run(strategies=[strategy])
# Optionally view reports
with pd.option_context(
"display.max_rows",
100,
"display.max_columns",
"binance": {
"api_key":
"BINANCE_API_KEY", # value is the environment variable name
"api_secret":
"BINANCE_API_SECRET", # value is the environment variable name
},
}
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = EMACross(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=BarSpecification(250, BarAggregation.TICK, PriceType.LAST),
fast_ema=10,
slow_ema=20,
trade_size=Decimal("0.1"),
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(
strategies=[strategy],
config=config,
)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
instrument1 = InstrumentId(
symbol=Symbol("AUD/USD"),
venue=Venue("OANDA"),
)
strategy1 = EMACross(
instrument_id=instrument1,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(10000),
order_id_tag="001",
)
# ------------------------------------------------------------------------------
instrument2 = InstrumentId(
symbol=Symbol("EUR/USD"),
venue=Venue("OANDA"),
)
strategy2 = EMACross(
instrument_id=instrument2,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
fast_ema_period=10,
instruments = CCXTInstrumentProvider(client=ccxt.binance(), load_all=True)
BINANCE = Venue("BINANCE")
ETHUSDT_BINANCE = instruments.get(Symbol("ETH/USDT", BINANCE))
# Setup data container
data = BacktestDataContainer()
data.add_instrument(ETHUSDT_BINANCE)
data.add_trade_ticks(ETHUSDT_BINANCE.symbol,
TestDataProvider.ethusdt_trades())
# Instantiate your strategy
strategy = EMACross(
symbol=ETHUSDT_BINANCE.symbol,
bar_spec=BarSpecification(250, BarAggregation.TICK, PriceType.LAST),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(100),
order_id_tag="001",
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_tick_cache=
True, # Pre-cache ticks for increased performance on repeated runs
# exec_db_type="redis",
# bypass_logging=True
)
# Create a fill model (optional)
"api_key":
"BINANCE_API_KEY", # value is the environment variable key
"api_secret":
"BINANCE_API_SECRET", # value is the environment variable key
"sandbox_mode": False, # If clients use the testnet
},
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = EMACross(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("0.05"),
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
USDJPY.symbol,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid(),
)
data.add_bars(
USDJPY.symbol,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask(),
)
strategies = [
EMACross(
symbol=USDJPY.symbol,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.BID),
fast_ema=10,
slow_ema=20,
)
]
config = BacktestConfig(
exec_db_type="in-memory",
exec_db_flush=False,
frozen_account=False,
starting_capital=1000000,
account_currency=USD,
short_term_interest_csv_path="default",
bypass_logging=False,
level_console=LogLevel.INFO,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
