def test_load_pickled_data(self):
# Arrange
bar_type = BarType(
instrument_id=GBPUSD_SIM.id,
bar_spec=TestDataStubs.bar_spec_1min_bid(),
aggregation_source=AggregationSource.EXTERNAL, # <-- important
)
config = EMACrossConfig(
instrument_id=str(GBPUSD_SIM.id),
bar_type=str(bar_type),
trade_size=Decimal(100_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
data = self.engine.dump_pickled_data()
# Act
self.engine.load_pickled_data(data)
self.engine.run()
# Assert
assert strategy.fast_ema.count == 30117
assert self.engine.iteration == 60234
assert self.engine.portfolio.account(
self.venue).balance_total(USD) == Money(1001736.86, USD)
def setup():
config = BacktestEngineConfig(bypass_logging=True)
engine = BacktestEngine(config=config)
# Setup data
wrangler = QuoteTickDataWrangler(USDJPY_SIM)
provider = TestDataProvider()
ticks = wrangler.process_bar_data(
bid_data=provider.read_csv_bars("fxcm-usdjpy-m1-bid-2013.csv"),
ask_data=provider.read_csv_bars("fxcm-usdjpy-m1-ask-2013.csv"),
)
engine.add_instrument(USDJPY_SIM)
engine.add_ticks(ticks)
engine.add_venue(
venue=Venue("SIM"),
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
)
config = EMACrossConfig(
instrument_id=str(USDJPY_SIM.id),
bar_type=str(TestDataStubs.bartype_usdjpy_1min_bid()),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
end = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
return (engine, start, end, strategy), {}
def test_run_multiple_strategies(self):
# Arrange
config1 = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type="USD/JPY.SIM-15-MINUTE-BID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
order_id_tag="001",
)
strategy1 = EMACross(config=config1)
config2 = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type="USD/JPY.SIM-15-MINUTE-BID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=20,
slow_ema=40,
order_id_tag="002",
)
strategy2 = EMACross(config=config2)
# Note since these strategies are operating on the same instrument_id as per
# the EMACross BUY/SELL logic they will be flattening each others positions.
# The purpose of the test is just to ensure multiple strategies can run together.
self.engine.add_strategies(strategies=[strategy1, strategy2])
# Act
self.engine.run()
# Assert
assert strategy1.fast_ema.count == 2689
assert strategy2.fast_ema.count == 2689
assert self.engine.iteration == 115044
assert self.engine.portfolio.account(
self.venue).balance_total(USD) == Money(985622.52, USD)
def setup():
config = BacktestEngineConfig(bypass_logging=True)
engine = BacktestEngine(config=config)
# Setup data
wrangler = QuoteTickDataWrangler(USDJPY_SIM)
provider = TestDataProvider()
ticks = wrangler.process_bar_data(
bid_data=provider.read_csv_bars("fxcm-usdjpy-m1-bid-2013.csv"),
ask_data=provider.read_csv_bars("fxcm-usdjpy-m1-ask-2013.csv"),
)
engine.add_instrument(USDJPY_SIM)
engine.add_ticks(ticks)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.BROKERAGE,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
config = EMACrossConfig(
instrument_id=str(USDJPY_SIM.id),
bar_type=str(TestStubs.bartype_usdjpy_1min_bid()),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
end = datetime(2013, 3, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
return (engine, start, end, [strategy]), {}
def test_exec_cache_check_integrity_when_index_cleared_fails(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type="USD/JPY.SIM-15-MINUTE-BID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Generate a lot of data
self.engine.run()
# Clear index
self.engine.cache.clear_index()
# Act, Assert
assert not self.engine.cache.check_integrity()
def test_exec_cache_check_integrity_when_cache_cleared_fails(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type=str(TestStubs.bartype_usdjpy_1min_bid()),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Generate a lot of data
self.engine.run()
# Remove data
self.engine.cache.clear_cache()
# Act, Assert
assert not self.engine.cache.check_integrity()
def test_run_ema_cross_with_tick_bar_spec(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.ethusdt.id),
bar_type="ETH/USDT.BINANCE-250-TICK-LAST-INTERNAL",
trade_size=Decimal(100),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 279
assert self.engine.iteration == 69806
assert self.engine.portfolio.account(
self.venue).balance_total(USDT) == Money(998450.62196820, USDT)
def test_run_ema_cross_with_minute_bar_spec(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.gbpusd.id),
bar_type="GBP/USD.SIM-5-MINUTE-MID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 8353
assert self.engine.iteration == 120468
assert self.engine.portfolio.account(
self.venue).balance_total(GBP) == Money(931346.81, GBP)
def test_run_ema_cross_strategy(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type="USD/JPY.SIM-15-MINUTE-BID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert - Should return expected PnL
assert strategy.fast_ema.count == 2689
assert self.engine.iteration == 115044
assert self.engine.portfolio.account(
self.venue).balance_total(USD) == Money(992811.26, USD)
def test_run_ema_cross_with_minute_bar_spec(self):
# Arrange
config = EMACrossConfig(
instrument_id="AUD/USD.SIM",
bar_type="AUD/USD.SIM-1-MINUTE-MID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 1771
assert self.engine.iteration == 100000
assert self.engine.portfolio.account(
self.venue).balance_total(AUD) == Money(987920.04, AUD)
def test_run_ema_cross_with_tick_bar_spec(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.audusd.id),
bar_type="AUD/USD.SIM-100-TICK-MID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 1000
assert self.engine.iteration == 100000
assert self.engine.portfolio.account(
self.venue).balance_total(AUD) == Money(994441.60, AUD)
def test_run_ema_cross_with_minute_bar_spec(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.gbpusd.id),
bar_type="GBP/USD.SIM-1-MINUTE-BID-EXTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 30117
assert self.engine.iteration == 60234
ending_balance = self.engine.portfolio.account(
self.venue).balance_total(USD)
assert ending_balance == Money(1016188.45, USD)
def test_run_ema_cross_with_trade_ticks_from_bar_data(self):
# Arrange
wrangler = QuoteTickDataWrangler(instrument=self.btcusdt)
provider = TestDataProvider()
# Build ticks from bar data
ticks = wrangler.process_bar_data(
bid_data=provider.read_csv_bars(
"ftx-btc-perp-20211231-20220201_1m.csv")[:10000],
ask_data=provider.read_csv_bars(
"ftx-btc-perp-20211231-20220201_1m.csv")[:10000],
)
self.engine.add_ticks(ticks)
config = EMACrossConfig(
instrument_id=str(self.btcusdt.id),
bar_type="BTCUSDT.BINANCE-1-MINUTE-BID-INTERNAL",
trade_size=Decimal(0.001),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 10000
assert self.engine.iteration == 40000
btc_ending_balance = self.engine.portfolio.account(
self.venue).balance_total(BTC)
usdt_ending_balance = self.engine.portfolio.account(
self.venue).balance_total(USDT)
assert btc_ending_balance == Money(9.57200000, BTC)
assert usdt_ending_balance == Money(10017114.27716700, USDT)
def test_run_ema_cross_with_minute_trade_bars(self):
# Arrange
wrangler = BarDataWrangler(
bar_type=BarType.from_str(
"BTCUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL"),
instrument=self.btcusdt,
)
provider = TestDataProvider()
# Build externally aggregated bars
bars = wrangler.process(data=provider.read_csv_bars(
"ftx-btc-perp-20211231-20220201_1m.csv")[:10000], )
self.engine.add_bars(bars)
config = EMACrossConfig(
instrument_id=str(self.btcusdt.id),
bar_type="BTCUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL",
trade_size=Decimal(0.001),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Act
self.engine.run()
# Assert
assert strategy.fast_ema.count == 10000
assert self.engine.iteration == 10000
btc_ending_balance = self.engine.portfolio.account(
self.venue).balance_total(BTC)
usdt_ending_balance = self.engine.portfolio.account(
self.venue).balance_total(USDT)
assert btc_ending_balance == Money(9.57200000, BTC)
assert usdt_ending_balance == Money(10017114.27716700, USDT)
def test_rerunning_backtest_with_redis_db_builds_correct_index(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type=str(TestStubs.bartype_usdjpy_1min_bid()),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
# Generate a lot of data
self.engine.run()
# Reset engine
self.engine.reset()
self.engine.add_instrument(self.usdjpy)
# Act
self.engine.run()
# Assert
assert self.engine.cache.check_integrity()
def test_rerun_ema_cross_strategy_returns_identical_performance(self):
# Arrange
config = EMACrossConfig(
instrument_id=str(self.usdjpy.id),
bar_type="USD/JPY.SIM-15-MINUTE-BID-INTERNAL",
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
strategy = EMACross(config=config)
self.engine.add_strategy(strategy)
self.engine.run()
result1 = self.engine.trader.analyzer.get_performance_stats_pnls()
# Act
self.engine.reset()
self.engine.add_instrument(
self.usdjpy) # TODO(cs): Having to replace instrument
self.engine.run()
result2 = self.engine.trader.analyzer.get_performance_stats_pnls()
# Assert
assert all(result2) == all(result1)
starting_balances=[Money(1_000_000, USD)],
fill_model=fill_model,
modules=[fx_rollover_interest],
)
# Configure your strategy
config = EMACrossConfig(
instrument_id=str(AUDUSD_SIM.id),
bar_type="AUD/USD.SIM-100-TICK-MID-INTERNAL",
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal(1_000_000),
order_id_tag="001",
)
# Instantiate and add your strategy
strategy = EMACross(config=config)
engine.add_strategy(strategy=strategy)
input("Press Enter to continue...") # noqa (always Python 3)
# Run the engine (from start to end of data)
engine.run()
# Optionally view reports
with pd.option_context(
"display.max_rows",
100,
"display.max_columns",
None,
"display.width",
300,
},
)
# Instantiate the node with a configuration
node = TradingNode(config=config_node)
# Configure your strategy
strat_config = EMACrossConfig(
instrument_id="ETH/USD.FTX",
bar_type="ETH/USD.FTX-1-MINUTE-LAST-INTERNAL",
fast_ema_period=10,
slow_ema_period=20,
trade_size=Decimal("0.01"),
order_id_tag="001",
)
# Instantiate your strategy
strategy = EMACross(config=strat_config)
# Add your strategies and modules
node.trader.add_strategy(strategy)
# Register your client factories with the node (can take user defined factories)
node.add_data_client_factory("FTX", FTXLiveDataClientFactory)
node.add_exec_client_factory("FTX", FTXLiveExecutionClientFactory)
node.build()
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()