def setUp(self):
# Fixture Setup
clock = TestClock()
logger = Logger(clock)
trader_id = TraderId("TESTER", "000")
account_id = TestStubs.account_id()
self.portfolio = Portfolio(
clock=clock,
logger=logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=clock,
logger=logger,
config={"use_previous_close": False},
)
self.portfolio.register_cache(self.data_engine.cache)
self.analyzer = PerformanceAnalyzer()
self.exec_db = BypassExecutionDatabase(
trader_id=trader_id,
logger=logger,
)
self.exec_engine = ExecutionEngine(
database=self.exec_db,
portfolio=self.portfolio,
clock=clock,
logger=logger,
)
self.exchange = SimulatedExchange(
venue=Venue("SIM"),
oms_type=OMSType.HEDGING,
is_frozen_account=False,
starting_balances=[Money(1_000_000, USD)],
exec_cache=self.exec_engine.cache,
instruments=[USDJPY_SIM],
modules=[],
fill_model=FillModel(),
clock=clock,
logger=logger,
)
self.data_client = BacktestMarketDataClient(
instruments=[USDJPY_SIM],
name="SIM",
engine=self.data_engine,
clock=clock,
logger=logger,
)
self.data_engine.register_client(self.data_client)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=account_id,
engine=self.exec_engine,
clock=clock,
logger=logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
clock=clock,
logger=logger,
)
self.exec_engine.register_risk_engine(self.risk_engine)
self.exec_engine.register_client(self.exec_client)
strategies = [
TradingStrategy("001"),
TradingStrategy("002"),
]
self.trader = Trader(
trader_id=trader_id,
strategies=strategies,
portfolio=self.portfolio,
data_engine=self.data_engine,
exec_engine=self.exec_engine,
risk_engine=self.risk_engine,
clock=clock,
logger=logger,
)
)
# Instantiate your strategy
strategy = EMACross(
instrument_id=AUDUSD.id,
bar_spec=BarSpecification(100, BarAggregation.TICK, PriceType.MID),
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
)
# Create a fill model (optional)
fill_model = FillModel(
prob_fill_at_limit=0.2,
prob_fill_at_stop=0.95,
prob_slippage=0.5,
random_seed=42,
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_data_cache=True, # Pre-cache data for increased performance on repeated runs
# exec_db_type="redis",
# bypass_logging=True
)
# Optional plug in module to simulate rollover interest,
# the data is coming from packaged test data.
interest_rate_data = pd.read_csv(os.path.join(PACKAGE_ROOT + "/data/", "short-term-interest.csv"))
def test_change_fill_model(self):
# Arrange, Act
self.engine.change_fill_model(Venue("SIM"), FillModel())
# Assert
assert True # No exceptions raised