def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(1000, BarAggregation.VOLUME, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
# Setup data
wrangler = QuoteTickDataWrangler(instrument)
provider = TestDataProvider()
ticks = wrangler.process(
data=provider.read_csv_ticks("truefx-audusd-ticks.csv")[:10000],
default_volume=1,
)
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 10
assert last_bar.open == Price.from_str("0.670635")
assert last_bar.high == Price.from_str("0.670705")
assert last_bar.low == Price.from_str("0.670370")
assert last_bar.close == Price.from_str("0.670655")
assert last_bar.volume == Quantity.from_int(1000)
def setup(self):
# Fixture Setup
config = BacktestEngineConfig(
bypass_logging=True,
run_analysis=False,
)
self.engine = BacktestEngine(config=config)
self.venue = Venue("SIM")
self.audusd = TestInstrumentProvider.default_fx_ccy("AUD/USD")
# Setup data
wrangler = QuoteTickDataWrangler(self.audusd)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("truefx-audusd-ticks.csv"))
self.engine.add_instrument(self.audusd)
self.engine.add_ticks(ticks)
interest_rate_data = provider.read_csv("short-term-interest.csv")
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
self.engine.add_venue(
venue=Venue("SIM"),
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=AUD,
starting_balances=[Money(1_000_000, AUD)],
modules=[fx_rollover_interest],
)
def parser(data):
if data is None:
return
data.loc[:, "timestamp"] = pd.to_datetime(data["timestamp"])
instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD")
wrangler = QuoteTickDataWrangler(instrument)
ticks = wrangler.process(data.set_index("timestamp"))
yield from ticks
def test_add_quote_ticks_adds_to_engine(self, capsys):
# Arrange
engine = BacktestEngine()
# Setup data
engine.add_instrument(AUDUSD_SIM)
wrangler = QuoteTickDataWrangler(AUDUSD_SIM)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("truefx-audusd-ticks.csv"))
# Act
engine.add_ticks(ticks)
# Assert
log = "".join(capsys.readouterr())
assert "Added 100,000 AUD/USD.SIM QuoteTick elements." in log
def test_pre_process_with_tick_data(self):
# Arrange
instrument = TestInstrumentProvider.btcusdt_binance()
wrangler = QuoteTickDataWrangler(instrument=instrument)
path = os.path.join(PACKAGE_ROOT, "data", "tardis_quotes.csv")
data = TardisQuoteDataLoader.load(path)
# Act
ticks = wrangler.process(
data,
ts_init_delta=1_000_501,
)
# Assert
assert len(ticks) == 9999
assert ticks[0].bid == Price.from_str("9681.92")
assert ticks[0].ask == Price.from_str("9682.00")
assert ticks[0].bid_size == Quantity.from_str("0.670000")
assert ticks[0].ask_size == Quantity.from_str("0.840000")
assert ticks[0].ts_event == 1582329603502091776
assert ticks[0].ts_init == 1582329603503092277
def test_process_tick_data(self):
# Arrange
usdjpy = TestInstrumentProvider.default_fx_ccy("USD/JPY")
wrangler = QuoteTickDataWrangler(instrument=usdjpy)
provider = TestDataProvider()
# Act
ticks = wrangler.process(
data=provider.read_csv_ticks("truefx-usdjpy-ticks.csv"),
default_volume=1000000,
)
# Assert
assert len(ticks) == 1000
assert ticks[0].instrument_id == usdjpy.id
assert ticks[0].bid == Price.from_str("86.655")
assert ticks[0].ask == Price.from_str("86.728")
assert ticks[0].bid_size == Quantity.from_int(1000000)
assert ticks[0].ask_size == Quantity.from_int(1000000)
assert ticks[0].ts_event == 1357077600295000064
assert ticks[0].ts_event == 1357077600295000064
def test_given_list_of_ticks_aggregates_tick_bars(self):
# Arrange
instrument = TestInstrumentProvider.default_fx_ccy("USD/JPY")
wrangler = QuoteTickDataWrangler(instrument)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("truefx-usdjpy-ticks.csv"))
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.usdjpy_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
clock = TestClock()
logger = Logger(clock)
builder = BulkTickBarBuilder(instrument, bar_type, logger, handler)
# Act
builder.receive(ticks)
# Assert
assert len(bar_store.get_store()[0]) == 333
if __name__ == "__main__":
# Configure backtest engine
config = BacktestEngineConfig(
trader_id="BACKTESTER-001",
)
# Build the backtest engine
engine = BacktestEngine(config=config)
# Setup trading instruments
SIM = Venue("SIM")
AUDUSD_SIM = TestInstrumentProvider.default_fx_ccy("AUD/USD", SIM)
# Setup data
provider = TestDataProvider()
wrangler = QuoteTickDataWrangler(instrument=AUDUSD_SIM)
ticks = wrangler.process(provider.read_csv_ticks("truefx-audusd-ticks.csv"))
engine.add_instrument(AUDUSD_SIM)
engine.add_ticks(ticks)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_on_limit=0.2,
prob_fill_on_stop=0.95,
prob_slippage=0.5,
random_seed=42,
)
# Optional plug in module to simulate rollover interest,
# the data is coming from packaged test data.
interest_rate_data = provider.read_csv("short-term-interest.csv")
fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
