def initializes(self):
"""
initialize the data to be used within generate
"""
# Universe
UH = UniHandler(self.startdate,self.enddate,True,self.altsim_dir)
uni = UH.build_uni(self.uni_name,'aws_dev')
uni = UH.filter_uni(uni,self.set_exch,self.set_base,self.set_quote,self.set_exclude,self.set_short_case)
uni['BTC-USDT-BINA'] = True
# Data
DH = DataHandler(self.startdate,self.enddate,self.backdays,self.interval,self.download,self.altsim_dir)
# include data you will use
ohlcv = DH.build_data(uni,'ohlcv','aws_exchanges')
ohlcv_close = apply_to_matrix(ohlcv,'close','ticker',self.startdate,self.enddate,self.interval)
ohlcv_close = backfill(ohlcv_close)
# Remove tickers that dont have data
uni = apply_filter_no_data_tickers(uni, ohlcv_close)
# Alpha
AH = AlphaHandler(self.startdate,self.enddate,self.interval)
alpha = AH.build_df(uni)
del alpha['BTC-USDT-BINA']
# Recalculate */BTC to */USDT for BINA
for col in alpha:
if col.split('-')[2] == 'BINA':
x = ohlcv_close.loc[:,col]
btc = ohlcv_close.loc[:,'BTC-USDT-BINA']
for i in x.index:
x.loc[i] = x.loc[i] * btc.loc[i]
return uni, alpha, ohlcv, ohlcv_close
def initializes(self):
"""
initialize the data to be used within generate
"""
# Universe
UH = UniHandler(self.startdate, self.enddate, True, self.altsim_dir)
uni = UH.build_uni(self.uni_name, 'aws_dev')
uni = UH.filter_uni(uni, self.set_exch, self.set_base, self.set_quote,
self.set_exclude, self.set_short_case)
# Data
DH = DataHandler(self.startdate, self.enddate, self.backdays,
self.interval, self.download, self.altsim_dir)
# include data you will use
ohlcv = DH.build_data(uni, 'ohlcv', 'aws_exchanges')
ohlcv_close = apply_to_matrix(ohlcv, 'close', 'ticker', self.startdate,
self.enddate, self.interval)
ohlcv_close = backfill(ohlcv_close)
#import pdb; pdb.set_trace()
# Remove tickers that dont have data
uni = apply_filter_no_data_tickers(uni, ohlcv_close)
# Alpha
AH = AlphaHandler(self.startdate, self.enddate, self.interval)
alpha = AH.build_df(uni)
return uni, alpha, ohlcv, ohlcv_close
def run():
parser = argparse.ArgumentParser(description='Run backtest on generate.py')
parser.add_argument('-s',
'--start',
help='start date of universe creation ex. 2017-01-01.',
type=str)
parser.add_argument('-e',
'--end',
help='end date of universe creation ex. 2017-01-01.',
type=str)
parser.add_argument('-f',
'--file',
help='file directory of generate.py',
type=str,
default='generate.py')
parser.add_argument('-b',
'--book',
help='booksize to be tested',
type=int,
default='1000000')
parser.add_argument('-i',
'--interval',
help='interval',
type=int,
default='5')
parser.add_argument('--tcost',
help='assign tcost',
type=float,
default='0.0')
parser.add_argument('--altsim_dir',
help='dir of altsim',
type=str,
default='')
args = parser.parse_args()
startdate = args.start
enddate = args.end
file_dir = args.file
book = args.book
interval = args.interval
tcost = args.tcost
altsim_dir = args.altsim_dir
pnl_dir = file_dir[:-8] + '_pnlanalyze.csv'
pos = pd.read_csv(file_dir, index_col=0)
pos.index = pd.to_datetime(pos.index)
#import pdb; pdb.set_trace()
mask = (pos.index >= pd.to_datetime(startdate)) & (pos.index <=
pd.to_datetime(enddate))
pos = pos.loc[mask]
# Cases where EXCH instruments are BTC/ETH etc underlying
for i in pos:
split_col = i.split('-')
if split_col[2] == 'BTRX':
pos['BTC-USDT-BTRX'] = np.nan
break
DH = DataHandler(startdate, enddate, 1, 5, False, altsim_dir)
ohlcv = DH.build_data(pos, 'ohlcv', 'aws_exchanges')
ohlcv_close = apply_to_matrix(ohlcv, 'close', 'ticker', startdate, enddate,
5)
ohlcv_close = backfill(ohlcv_close)
#import pdb; pdb.set_trace()
ohlcv_close = apply_delay_keep(ohlcv_close, 1)
# Recalculate */BTC to */USDT for BTRX
for col in ohlcv_close:
if col.split('-')[2] == 'BTRX' and col != 'BTC-USDT-BTRX':
x = ohlcv_close.loc[:, col]
btc = ohlcv_close.loc[:, 'BTC-USDT-BTRX']
for i in x.index:
#import pdb; pdb.set_trace()
x.loc[i] = x.loc[i] * btc.loc[i]
stats = get_stats(pos, ohlcv_close, book, 0.0, interval, tcost=tcost)
if os.path.isfile(pnl_dir):
os.remove(pnl_dir)
save_file(pnl_dir, stats, 'PnL')