def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 60.0, self.start_timestamp, self.end_timestamp)
self.clock_tick_size = 60
self.maker_market: BacktestMarket = BacktestMarket()
self.maker_data: MockOrderBookLoader = MockOrderBookLoader(*self.maker_symbols)
self.mid_price = 100
self.bid_threshold = 0.01
self.ask_threshold = 0.01
self.cancel_order_wait_time = 45
self.maker_data.set_balanced_order_book(mid_price=self.mid_price, min_price=1,
max_price=200, price_step_size=1, volume_step_size=10)
self.maker_market.add_data(self.maker_data)
self.maker_market.set_balance("COINALPHA", 500)
self.maker_market.set_balance("WETH", 500)
self.maker_market.set_balance("QETH", 500)
self.maker_market.set_quantization_param(
QuantizationParams(
self.maker_symbols[0], 5, 5, 5, 5
)
)
self.market_info: MarketInfo = MarketInfo(
*(
[self.maker_market] + self.maker_symbols
)
)
logging_options: int = (PureMarketMakingStrategyV2.OPTION_LOG_ALL &
(~PureMarketMakingStrategyV2.OPTION_LOG_NULL_ORDER_SIZE))
self.strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
legacy_order_size=1.0,
legacy_bid_spread=self.bid_threshold,
legacy_ask_spread=self.ask_threshold,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.logging_options = logging_options
self.clock.add_iterator(self.maker_market)
self.clock.add_iterator(self.strategy)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.maker_market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.maker_market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 60.0, self.start_timestamp, self.end_timestamp)
self.clock_tick_size = 60
self.maker_market: BacktestMarket = BacktestMarket()
self.maker_data: MockOrderBookLoader = MockOrderBookLoader(*self.maker_symbols)
self.mid_price = 100
self.bid_threshold = 0.01
self.ask_threshold = 0.01
self.cancel_order_wait_time = 45
self.maker_data.set_balanced_order_book(mid_price=self.mid_price, min_price=1,
max_price=200, price_step_size=1, volume_step_size=10)
self.filter_delegate = PassThroughFilterDelegate()
self.constant_pricing_delegate = ConstantSpreadPricingDelegate(self.bid_threshold, self.ask_threshold)
self.constant_sizing_delegate = ConstantSizeSizingDelegate(1.0)
self.equal_strategy_sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size=1.0,
order_step_size=0,
number_of_orders=5
)
self.staggered_strategy_sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size=1.0,
order_step_size=0.5,
number_of_orders=5
)
self.multiple_order_strategy_pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_spread=self.bid_threshold,
ask_spread=self.ask_threshold,
order_interval_size=0.01,
number_of_orders=5
)
self.maker_market.add_data(self.maker_data)
self.maker_market.set_balance("COINALPHA", 500)
self.maker_market.set_balance("WETH", 5000)
self.maker_market.set_balance("QETH", 500)
self.maker_market.set_quantization_param(
QuantizationParams(
self.maker_symbols[0], 6, 6, 6, 6
)
)
self.market_info: MarketSymbolPair = MarketSymbolPair(
*(
[self.maker_market] + self.maker_symbols
)
)
logging_options: int = (PureMarketMakingStrategyV2.OPTION_LOG_ALL &
(~PureMarketMakingStrategyV2.OPTION_LOG_NULL_ORDER_SIZE))
self.strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
sizing_delegate=self.constant_sizing_delegate,
pricing_delegate=self.constant_pricing_delegate,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.multi_order_equal_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
pricing_delegate=self.multiple_order_strategy_pricing_delegate,
sizing_delegate=self.equal_strategy_sizing_delegate,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.multi_order_staggered_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
pricing_delegate=self.multiple_order_strategy_pricing_delegate,
sizing_delegate=self.staggered_strategy_sizing_delegate,
cancel_order_wait_time=45,
logging_options=logging_options
)
self.logging_options = logging_options
self.clock.add_iterator(self.maker_market)
self.clock.add_iterator(self.strategy)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.maker_market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.maker_market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.maker_market: BacktestMarket = BacktestMarket()
self.maker_data: MockOrderBookLoader = MockOrderBookLoader(
*self.maker_trading_pairs)
self.mid_price = 100
self.bid_spread = 0.01
self.ask_spread = 0.01
self.order_refresh_time = 30
self.maker_data.set_balanced_order_book(mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.constant_pricing_delegate = ConstantSpreadPricingDelegate(
Decimal(self.bid_spread), Decimal(self.ask_spread))
self.constant_sizing_delegate = ConstantSizeSizingDelegate(
Decimal("1.0"))
self.filter_delegate = PassThroughFilterDelegate()
self.maker_market.add_data(self.maker_data)
self.maker_market.set_balance("COINALPHA", 500)
self.maker_market.set_balance("WETH", 5000)
self.maker_market.set_balance("QETH", 500)
self.maker_market.set_quantization_param(
QuantizationParams(self.maker_trading_pairs[0], 6, 6, 6, 6))
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
*([self.maker_market] + self.maker_trading_pairs))
logging_options: int = (
PureMarketMakingStrategyV2.OPTION_LOG_ALL &
(~PureMarketMakingStrategyV2.OPTION_LOG_NULL_ORDER_SIZE))
self.one_level_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
pricing_delegate=self.constant_pricing_delegate,
sizing_delegate=self.constant_sizing_delegate,
order_refresh_time=4,
filled_order_delay=8,
hanging_orders_enabled=True,
logging_options=logging_options,
hanging_orders_cancel_pct=0.05,
order_refresh_tolerance_pct=0)
self.multiple_order_pricing_delegate = ConstantMultipleSpreadPricingDelegate(
bid_spread=Decimal(self.bid_spread),
ask_spread=Decimal(self.ask_spread),
order_level_spread=Decimal("0.01"),
order_levels=Decimal("5"))
self.equal_sizing_delegate = StaggeredMultipleSizeSizingDelegate(
order_start_size=Decimal("1.0"),
order_step_size=Decimal("0"),
order_levels=Decimal("5"))
self.multi_levels_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
pricing_delegate=self.multiple_order_pricing_delegate,
sizing_delegate=self.equal_sizing_delegate,
order_refresh_time=4,
filled_order_delay=8,
hanging_orders_enabled=True,
logging_options=logging_options,
hanging_orders_cancel_pct=0.1,
order_refresh_tolerance_pct=0)
self.hanging_order_multiple_strategy: PureMarketMakingStrategyV2 = PureMarketMakingStrategyV2(
[self.market_info],
filter_delegate=self.filter_delegate,
pricing_delegate=self.multiple_order_pricing_delegate,
sizing_delegate=self.equal_sizing_delegate,
order_refresh_time=4,
filled_order_delay=8,
hanging_orders_enabled=True,
logging_options=logging_options,
order_refresh_tolerance_pct=0)
self.logging_options = logging_options
self.clock.add_iterator(self.maker_market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.maker_market.add_listener(MarketEvent.OrderFilled,
self.maker_order_fill_logger)
self.maker_market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)