async def prepare_backtest_config(args) -> dict:
"""
takes argparse args, returns dict with backtest and optimize config
"""
config = load_hjson_config(args.backtest_config_path)
for key in [
"symbol",
"user",
"start_date",
"end_date",
"starting_balance",
"market_type",
"base_dir",
"ohlcv",
]:
if hasattr(args, key) and getattr(args, key) is not None:
config[key] = getattr(args, key)
elif key not in config:
config[key] = None
if args.market_type is None:
config["spot"] = False
else:
config["spot"] = args.market_type == "spot"
config["start_date"] = ts_to_date_utc(date_to_ts(
config["start_date"]))[:10]
config["end_date"] = ts_to_date_utc(date_to_ts(config["end_date"]))[:10]
config["exchange"], _, _ = load_exchange_key_secret(config["user"])
config["session_name"] = (
f"{config['start_date'].replace(' ', '').replace(':', '').replace('.', '')}_"
f"{config['end_date'].replace(' ', '').replace(':', '').replace('.', '')}"
)
if config["base_dir"].startswith("~"):
raise Exception(
"error: using the ~ to indicate the user's home directory is not supported"
)
base_dirpath = os.path.join(
config["base_dir"],
f"{config['exchange']}{'_spot' if 'spot' in config['market_type'] else ''}",
config["symbol"],
)
config["caches_dirpath"] = make_get_filepath(
os.path.join(base_dirpath, "caches", ""))
config["optimize_dirpath"] = make_get_filepath(
os.path.join(base_dirpath, "optimize", ""))
config["plots_dirpath"] = make_get_filepath(
os.path.join(base_dirpath, "plots", ""))
await add_market_specific_settings(config)
return config
async def fetch_ticks(self, from_id: int = None, do_print: bool = True):
params = {'symbol': self.symbol, 'limit': 1000}
if from_id is not None:
params['from'] = max(0, from_id)
try:
ticks = await self.public_get(self.endpoints['ticks'], params)
except Exception as e:
print('error fetching ticks', e)
return []
try:
trades = [{
'trade_id': int(tick['id']),
'price': float(tick['price']),
'qty': float(tick['qty']),
'timestamp': date_to_ts(tick['time']),
'is_buyer_maker': tick['side'] == 'Sell'
} for tick in ticks['result']]
if do_print:
print_([
'fetched trades', self.symbol, trades[0]['trade_id'],
ts_to_date(float(trades[0]['timestamp']) / 1000)
])
except:
trades = []
if do_print:
print_(['fetched no new trades', self.symbol])
return trades
async def fetch_ticks(self, from_id: int = None, do_print: bool = True):
params = {"symbol": self.symbol, "limit": 1000}
if from_id is not None:
params["from"] = max(0, from_id)
try:
ticks = await self.public_get(self.endpoints["ticks"], params)
except Exception as e:
print("error fetching ticks", e)
return []
try:
trades = [{
"trade_id": int(tick["id"]),
"price": float(tick["price"]),
"qty": float(tick["qty"]),
"timestamp": date_to_ts(tick["time"]),
"is_buyer_maker": tick["side"] == "Sell",
} for tick in ticks["result"]]
if do_print:
print_([
"fetched trades",
self.symbol,
trades[0]["trade_id"],
ts_to_date(float(trades[0]["timestamp"]) / 1000),
])
except:
trades = []
if do_print:
print_(["fetched no new trades", self.symbol])
return trades
def make_tick_samples(config: dict, sec_span: int = 1):
"""
makes tick samples from agg_trades
tick samples are [(qty, price, timestamp)]
config must include parameters
- exchange: str
- symbol: str
- spot: bool
- start_date: str
- end_date: str
"""
for key in ["exchange", "symbol", "spot", "start_date", "end_date"]:
assert key in config
start_ts = date_to_ts(config["start_date"])
end_ts = date_to_ts(config["end_date"])
ticks_filepath = os.path.join(
"historical_data",
config["exchange"],
f"agg_trades_{'spot' if config['spot'] else 'futures'}",
config["symbol"],
"",
)
if not os.path.exists(ticks_filepath):
return
ticks_filenames = sorted(
[f for f in os.listdir(ticks_filepath) if f.endswith(".csv")])
ticks = np.empty((0, 3))
sts = time()
for f in ticks_filenames:
_, _, first_ts, last_ts = map(int, f.replace(".csv", "").split("_"))
if first_ts > end_ts or last_ts < start_ts:
continue
print(f"\rloading chunk {ts_to_date(first_ts / 1000)}", end=" ")
tdf = pd.read_csv(ticks_filepath + f)
tdf = tdf[(tdf.timestamp >= start_ts) & (tdf.timestamp <= end_ts)]
ticks = np.concatenate((ticks, tdf[["timestamp", "qty",
"price"]].values))
del tdf
samples = calc_samples(ticks[ticks[:, 0].argsort()], sec_span * 1000)
print(
f"took {time() - sts:.2f} seconds to load {len(ticks)} ticks, creating {len(samples)} samples"
)
del ticks
return samples
def load_hlc_cache(symbol,
start_date,
end_date,
base_dir="backtests",
spot=False):
cache_fname = (
f"{ts_to_date_utc(date_to_ts(start_date))[:10]}_" +
f"{ts_to_date_utc(date_to_ts(end_date))[:10]}_ohlcv_cache.npy")
filepath = make_get_filepath(
os.path.join(base_dir, "binance" + ("_spot" if spot else ""), symbol,
"caches", cache_fname))
if os.path.exists(filepath):
return np.load(filepath)
df = download_ohlcvs(symbol, start_date, end_date)
df = df[df.timestamp >= date_to_ts(start_date)]
df = df[df.timestamp <= date_to_ts(end_date)]
data = df[["timestamp", "high", "low", "close"]].values
np.save(filepath, data)
return data
def make_tick_samples(config: dict, sec_span: int = 1):
'''
makes tick samples from agg_trades
tick samples are [(qty, price, timestamp)]
config must include parameters
- exchange: str
- symbol: str
- spot: bool
- start_date: str
- end_date: str
'''
for key in ['exchange', 'symbol', 'spot', 'start_date', 'end_date']:
assert key in config
start_ts = date_to_ts(config['start_date'])
end_ts = date_to_ts(config['end_date'])
ticks_filepath = os.path.join(
'historical_data', config['exchange'],
f"agg_trades_{'spot' if config['spot'] else 'futures'}",
config['symbol'], '')
if not os.path.exists(ticks_filepath):
return
ticks_filenames = sorted(
[f for f in os.listdir(ticks_filepath) if f.endswith('.csv')])
ticks = np.empty((0, 3))
sts = time()
for f in ticks_filenames:
_, _, first_ts, last_ts = map(int, f.replace('.csv', '').split('_'))
if first_ts > end_ts or last_ts < start_ts:
continue
print(f'\rloading chunk {ts_to_date(first_ts / 1000)}', end=' ')
tdf = pd.read_csv(ticks_filepath + f)
tdf = tdf[(tdf.timestamp >= start_ts) & (tdf.timestamp <= end_ts)]
ticks = np.concatenate((ticks, tdf[['timestamp', 'qty',
'price']].values))
del tdf
samples = calc_samples(ticks[ticks[:, 0].argsort()], sec_span * 1000)
print(
f'took {time() - sts:.2f} seconds to load {len(ticks)} ticks, creating {len(samples)} samples'
)
del ticks
return samples
async def fetch_open_orders(self) -> [dict]:
fetched = await self.private_get(self.endpoints['open_orders'],
{'symbol': self.symbol})
return [{
'order_id': elm['order_id'],
'custom_id': elm['order_link_id'],
'symbol': elm['symbol'],
'price': float(elm['price']),
'qty': float(elm['qty']),
'side': elm['side'].lower(),
'position_side': determine_pos_side(elm),
'timestamp': date_to_ts(elm[self.endpoints['created_at_key']])
} for elm in fetched['result']]
async def fetch_open_orders(self) -> [dict]:
fetched = await self.private_get(self.endpoints["open_orders"],
{"symbol": self.symbol})
return [{
"order_id": elm["order_id"],
"custom_id": elm["order_link_id"],
"symbol": elm["symbol"],
"price": float(elm["price"]),
"qty": float(elm["qty"]),
"side": elm["side"].lower(),
"position_side": determine_pos_side(elm),
"timestamp": date_to_ts(elm[self.endpoints["created_at_key"]]),
} for elm in fetched["result"]]
def standardize_user_stream_event(
self, event: Union[List[Dict], Dict]) -> Union[List[Dict], Dict]:
events = []
if 'topic' in event:
if event['topic'] == 'order':
for elm in event['data']:
if elm['symbol'] == self.symbol:
if elm['order_status'] == 'Created':
pass
elif elm['order_status'] == 'Rejected':
pass
elif elm['order_status'] == 'New':
new_open_order = {
'order_id':
elm['order_id'],
'symbol':
elm['symbol'],
'price':
float(elm['price']),
'qty':
float(elm['qty']),
'type':
elm['order_type'].lower(),
'side': (side := elm['side'].lower()),
'timestamp':
date_to_ts(elm['timestamp' if self.
inverse else 'update_time'])
}
if 'inverse_perpetual' in self.market_type:
if self.position['long']['size'] == 0.0:
if self.position['shrt']['size'] == 0.0:
new_open_order[
'position_side'] = 'long' if new_open_order[
'side'] == 'buy' else 'shrt'
else:
new_open_order[
'position_side'] = 'shrt'
else:
new_open_order['position_side'] = 'long'
elif 'inverse_futures' in self.market_type:
new_open_order[
'position_side'] = determine_pos_side(elm)
else:
new_open_order['position_side'] = ('long' if (
(new_open_order['side'] == 'buy'
and elm['create_type'] == 'CreateByUser')
or
(new_open_order['side'] == 'sell' and
elm['create_type'] == 'CreateByClosing'))
else 'shrt')
events.append({'new_open_order': new_open_order})
elif elm['order_status'] == 'PartiallyFilled':
events.append({
'deleted_order_id': elm['order_id'],
'partially_filled': True
})
elif elm['order_status'] == 'Filled':
events.append({
'deleted_order_id': elm['order_id'],
'filled': True
})
elif elm['order_status'] == 'Cancelled':
events.append(
{'deleted_order_id': elm['order_id']})
elif elm['order_status'] == 'PendingCancel':
pass
else:
events.append({
'other_symbol': elm['symbol'],
'other_type': event['topic']
})
elif event['topic'] == 'execution':
for elm in event['data']:
if elm['symbol'] == self.symbol:
if elm['exec_type'] == 'Trade':
# already handled by "order"
pass
else:
events.append({
'other_symbol': elm['symbol'],
'other_type': event['topic']
})
elif event['topic'] == 'position':
for elm in event['data']:
if elm['symbol'] == self.symbol:
standardized = {}
if elm['side'] == 'Buy':
standardized['long_psize'] = round_(
float(elm['size']), self.qty_step)
standardized['long_pprice'] = float(
elm['entry_price'])
elif elm['side'] == 'Sell':
standardized['shrt_psize'] = -round_(
abs(float(elm['size'])), self.qty_step)
standardized['shrt_pprice'] = float(
elm['entry_price'])
events.append(standardized)
if self.inverse:
events.append({
'wallet_balance':
float(elm['wallet_balance'])
})
else:
events.append({
'other_symbol': elm['symbol'],
'other_type': event['topic']
})
elif not self.inverse and event['topic'] == 'wallet':
for elm in event['data']:
events.append(
{'wallet_balance': float(elm['wallet_balance'])})
return events
def download_ohlcvs(symbol,
start_date,
end_date,
download_only=False) -> pd.DataFrame:
dirpath = make_get_filepath(f"historical_data/ohlcvs_futures/{symbol}/")
base_url = f"https://data.binance.vision/data/futures/um/"
col_names = ["timestamp", "open", "high", "low", "close", "volume"]
start_ts = date_to_ts(start_date)
end_ts = date_to_ts(end_date)
days = [
ts_to_date_utc(x)[:10]
for x in list(range(start_ts, end_ts, 1000 * 60 * 60 * 24))
]
months = sorted(set([x[:7] for x in days]))
months_done = set()
dfs = []
for month in months:
month_filepath = dirpath + month + ".csv"
if os.path.exists(month_filepath):
months_done.add(month)
if not download_only:
dfs.append(pd.read_csv(month_filepath))
continue
try:
url = base_url + f"monthly/klines/{symbol}/1m/{symbol}-1m-{month}.zip"
print("fetching", url)
csv = get_zip(url)
csv.to_csv(month_filepath)
months_done.add(month)
if not download_only:
dfs.append(csv)
for f in os.listdir(dirpath):
if month in f and len(f) > 11:
print("deleting", dirpath + f)
os.remove(dirpath + f)
except Exception as e:
if month != months[-1]:
months_done.add(month)
print(e)
for day in days:
if day[:7] in months_done:
continue
day_filepath = dirpath + day + ".csv"
if os.path.exists(day_filepath):
if not download_only:
dfs.append(pd.read_csv(day_filepath))
continue
try:
print("fetching", day_filepath)
csv = get_zip(base_url +
f"daily/klines/{symbol}/1m/{symbol}-1m-{day}.zip")
csv.to_csv(day_filepath)
if not download_only:
dfs.append(csv)
except Exception as e:
print(e)
break
if not download_only:
df = pd.concat(dfs)[col_names].sort_values("timestamp")
df = df.drop_duplicates(subset=["timestamp"]).reset_index()
nindex = np.arange(df.timestamp.iloc[0], df.timestamp.iloc[-1] + 60000,
60000)
return (df[col_names].set_index("timestamp").reindex(nindex).fillna(
method="ffill").reset_index())
def standardize_user_stream_event(
self, event: Union[List[Dict], Dict]) -> Union[List[Dict], Dict]:
events = []
if "topic" in event:
if event["topic"] == "order":
for elm in event["data"]:
if elm["symbol"] == self.symbol:
if elm["order_status"] == "Created":
pass
elif elm["order_status"] == "Rejected":
pass
elif elm["order_status"] == "New":
new_open_order = {
"order_id":
elm["order_id"],
"symbol":
elm["symbol"],
"price":
float(elm["price"]),
"qty":
float(elm["qty"]),
"type":
elm["order_type"].lower(),
"side": (side := elm["side"].lower()),
"timestamp":
date_to_ts(elm["timestamp" if self.
inverse else "update_time"]),
}
if "inverse_perpetual" in self.market_type:
if self.position["long"]["size"] == 0.0:
if self.position["short"]["size"] == 0.0:
new_open_order["position_side"] = (
"long" if new_open_order["side"]
== "buy" else "short")
else:
new_open_order[
"position_side"] = "short"
else:
new_open_order["position_side"] = "long"
elif "inverse_futures" in self.market_type:
new_open_order[
"position_side"] = determine_pos_side(elm)
else:
new_open_order["position_side"] = (
"long" if
((new_open_order["side"] == "buy"
and elm["create_type"] == "CreateByUser")
or
(new_open_order["side"] == "sell" and
elm["create_type"] == "CreateByClosing"))
else "short")
events.append({"new_open_order": new_open_order})
elif elm["order_status"] == "PartiallyFilled":
events.append({
"deleted_order_id": elm["order_id"],
"partially_filled": True,
})
elif elm["order_status"] == "Filled":
events.append({
"deleted_order_id": elm["order_id"],
"filled": True
})
elif elm["order_status"] == "Cancelled":
events.append(
{"deleted_order_id": elm["order_id"]})
elif elm["order_status"] == "PendingCancel":
pass
else:
events.append({
"other_symbol": elm["symbol"],
"other_type": event["topic"],
})
