def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = ETHUSDT_BINANCE
bar_spec = BarSpecification(1000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv")[:10000])
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 26
assert last_bar.open == Price.from_str("425.17")
assert last_bar.high == Price.from_str("425.24")
assert last_bar.low == Price.from_str("424.69")
assert last_bar.close == Price.from_str("425.14")
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("BINANCE")
self.ethusdt = TestInstrumentProvider.ethusdt_binance()
# Setup data
wrangler = TradeTickDataWrangler(instrument=self.ethusdt)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv"))
self.engine.add_instrument(self.ethusdt)
self.engine.add_ticks(ticks)
self.engine.add_venue(
venue=self.venue,
oms_type=OMSType.NETTING,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
starting_balances=[Money(1_000_000, USDT)],
)
def test_add_trade_ticks_adds_to_engine(self, capsys):
# Arrange
engine = BacktestEngine()
engine.add_instrument(ETHUSDT_BINANCE)
wrangler = TradeTickDataWrangler(ETHUSDT_BINANCE)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv"))
# Act
engine.add_ticks(ticks)
# Assert
log = "".join(capsys.readouterr())
assert "Added 69,806 ETHUSDT.BINANCE TradeTick elements." in log
def test_process(self):
# Arrange
instrument = TestInstrumentProvider.btcusdt_binance()
wrangler = TradeTickDataWrangler(instrument=instrument)
path = os.path.join(PACKAGE_ROOT, "data", "tardis_trades.csv")
data = TardisTradeDataLoader.load(path)
# Act
ticks = wrangler.process(data)
# Assert
assert len(ticks) == 9999
assert ticks[0].price == Price.from_str("9682.00")
assert ticks[0].size == Quantity.from_str("0.132000")
assert ticks[0].aggressor_side == AggressorSide.BUY
assert ticks[0].trade_id == TradeId("42377944")
assert ticks[0].ts_event == 1582329602418379008
assert ticks[0].ts_init == 1582329602418379008
def test_process(self):
# Arrange
ethusdt = TestInstrumentProvider.ethusdt_binance()
wrangler = TradeTickDataWrangler(instrument=ethusdt)
provider = TestDataProvider()
# Act
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv")[:100])
# Assert
assert len(ticks) == 100
assert ticks[0].price == Price.from_str("423.760")
assert ticks[0].size == Quantity.from_str("2.67900")
assert ticks[0].aggressor_side == AggressorSide.SELL
assert ticks[0].trade_id == TradeId("148568980")
assert ticks[0].ts_event == 1597399200223000064
assert ticks[0].ts_init == 1597399200223000064
# Configure backtest engine
config = BacktestEngineConfig(
trader_id="BACKTESTER-001",
exec_engine={"allow_cash_positions":
True}, # Retain original behaviour for now
)
# Build the backtest engine
engine = BacktestEngine(config=config)
BINANCE = Venue("BINANCE")
instrument_id = InstrumentId(symbol=Symbol("ETHUSDT"), venue=BINANCE)
ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance()
# Setup data
provider = TestDataProvider()
wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv"))
engine.add_instrument(ETHUSDT_BINANCE)
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,
)
# Add an exchange (multiple exchanges possible)
# Add starting balances for single-currency or multi-currency accounts