def _execution_price(self, data_handler: DataHandler) -> float:
btic_fixings = data_handler.get_data_range(self.window.start, self.window.end,
self.btic_instrument, ValuationFixingType.PRICE)
btic_twap = np.mean(btic_fixings)
close = data_handler.get_data(self.window.end.date(), self.instrument, ValuationFixingType.PRICE)
return close + btic_twap
def _execution_price(self, data_handler: DataHandler) -> float:
if self.executed_price is None:
btic_fixings = data_handler.get_data_range(self.window.start, self.window.end,
self.btic_instrument, ValuationFixingType.PRICE)
btic_twap = np.mean(btic_fixings)
close = data_handler.get_data(self.window.end.date(), self.future_underlying)
self.executed_price = close + btic_twap
return self.executed_price
def __init__(self,
data_mgr: DataManager,
calendars: Union[str, Tuple[str, ...]],
tz: timezone,
valuation_method: ValuationMethod,
action_impl_map={}):
self.action_impl_map = action_impl_map
self.calendars = calendars
self.tz = tz
self.data_handler = DataHandler(data_mgr, tz=tz)
self.valuation_method = valuation_method
self.execution_engine = None
def _execution_price(self, data_handler: DataHandler) -> float:
if self.executed_price is None:
fixings = data_handler.get_data_range(self.window.start,
self.window.end,
self.instrument,
ValuationFixingType.PRICE)
self.executed_price = np.mean(fixings)
return self.executed_price
def _execution_price(self, data_handler: DataHandler) -> float:
return data_handler.get_data(self.execution_datetime, self.instrument,
ValuationFixingType.PRICE)
def _execution_price(self, data_handler: DataHandler) -> float:
if self.executed_price is None:
self.executed_price = data_handler.get_data(self.execution_datetime,
self.instrument, ValuationFixingType.PRICE)
return self.executed_price
def execution_price(self, data_handler: DataHandler) -> float:
fixings = data_handler.get_data_range(self.window.start,
self.window.end, self.instrument,
ValuationFixingType.PRICE)
return np.mean(fixings)
class GenericPriceEngine(BacktestBaseEngine):
def get_action_handler(self, action: Action) -> Action:
handler_factory = GenericPriceEngineActionFactory(self.action_impl_map)
return handler_factory.get_action_handler(action)
@classmethod
def supports_strategy(cls, strategy):
all_actions = reduce(lambda x, y: x + y,
(map(lambda x: x.actions, strategy.triggers)))
try:
for x in all_actions:
cls.get_action_handler(x)
except RuntimeError:
return False
return True
def __init__(self,
data_mgr: DataManager,
calendars: Union[str, Tuple[str, ...]],
tz: timezone,
valuation_method: ValuationMethod,
action_impl_map={}):
self.action_impl_map = action_impl_map
self.calendars = calendars
self.tz = tz
self.data_handler = DataHandler(data_mgr, tz=tz)
self.valuation_method = valuation_method
self.execution_engine = None
def _eod_valuation_time(self):
if self.valuation_method.window:
return self.valuation_method.window.end
else:
return dt.time(23)
def _timer(self, strategy, start, end):
dates = date_range(start, end, calendars=self.calendars)
times = list(strategy.triggers[0].get_trigger_times())
times.append(self._eod_valuation_time())
times = list(dict.fromkeys(times))
for d in dates:
for t in times:
yield dt.datetime.combine(d, t)
def run_backtest(self, strategy, start, end):
# initialize backtest object
backtest = PriceBacktest(self.data_handler)
backtest.set_start_date(start)
# initialize execution engine
self.execution_engine = SimulatedExecutionEngine(self.data_handler)
# create timer
timer = self._timer(strategy, start, end)
self._run(strategy, timer, backtest)
return backtest
def _run(self, strategy, timer, backtest: PriceBacktest):
events = deque()
while True:
try:
state = next(timer)
except StopIteration:
break
# update to latest data
self.data_handler.update(state)
# see if any submitted orders have been executed
fills = self.execution_engine.ping(state)
events.extend(fills)
# generate a market event
events.append(MarketEvent())
# create valuation event when it's due for daily valuation
if state.time() == self._eod_valuation_time():
events.append(ValuationEvent())
while events:
event = events.popleft()
if event.type == 'Market': # market event (new mkt data coming in)
for trigger in strategy.triggers:
if trigger.has_triggered(state, backtest):
for action in trigger.actions:
orders = self.get_action_handler(
action).apply_action(state, backtest)
backtest.record_orders(orders)
events.extend([OrderEvent(o) for o in orders])
elif event.type == 'Order': # order event (submit the order to execution engine)
self.execution_engine.submit_order(event)
elif event.type == 'Fill': # fill event (update backtest with the fill results)
backtest.update_fill(event)
elif event.type == 'Valuation': # valuation event (calculate daily level)
backtest.mark_to_market(state, self.valuation_method)
return backtest