class Trader(object):
def __init__(self, exchangeClient):
self.exchangeClient = exchangeClient
self.marketDataManager = MarketDataManager(self.exchangeClient)
self.portfolioManager = PortfolioManager(self.exchangeClient)
self.exchangeDataListener = BinanceDataListener(
self.exchangeClient, self.marketDataManager, self.portfolioManager)
self.bigThree = BigThree('XLM', 'ETH', self.exchangeClient,
self.marketDataManager, self.portfolioManager)
self.creten = StrategyManager()
self.creten.addStrategy(self.bigThree)
# initialize data
self.marketDataManager.init('XLMETH', CretenInterval.INTERVAL_1MINUTE)
self.portfolioManager.init()
self.exchangeDataListener.registerPortfolioListener()
self.exchangeDataListener.registerKlineListener(
"XLMETH", CretenInterval.INTERVAL_1MINUTE,
self.creten.processKline)
def run(self):
self.exchangeDataListener.start()
class RealTimeSimulator(CretenEngine):
def __init__(self, exchangeClient, inputConfRaw, cretenExecId):
super(RealTimeSimulator, self).__init__()
self.exchangeClient = exchangeClient
self.inputConfRaw = inputConfRaw
self.cretenExecId = cretenExecId
self.marketDataManager = MarketDataManager(self.exchangeClient)
self.marketRulesManager = MarketRulesManager(self.exchangeClient)
self.portfolioManager = PortfolioManager(self.exchangeClient)
self.strategyManager = StrategyManager()
self.orderManager = OrderManager(self.exchangeClient, self.marketRulesManager, self.strategyManager)
self.exchangeDataListener = BinanceSimulationDataListener(self.exchangeClient, self.marketDataManager, self.marketRulesManager, self.portfolioManager, self.orderManager)
self.exchangeEventSimulator = ExchangeEventSimulator(self.marketDataManager, self.orderManager, self.portfolioManager, self.exchangeDataListener)
def run(self):
self.log.info('')
self.log.info('Starting real time simulation')
inputConf = json.loads(self.inputConfRaw)
jsonschema.validate(inputConf, RealtimetestSchema.schema)
with Db.session_scope():
ced = ExecManager.createCretenExecDetl(self.cretenExecId, inputConf['realtimetest'])
cretenExecDetlId = ced.creten_exec_detl_id
self.exchangeDataListener.setCretenExecDetlId(cretenExecDetlId)
self.exchangeEventSimulator.setCretenExecDetlId(cretenExecDetlId)
cretenInterval = getattr(CretenInterval, "INTERVAL_" + inputConf['realtimetest']['interval'])
for pairConf in inputConf['realtimetest']['pairs']:
pair = Pair(baseAsset = pairConf[0], quoteAsset = pairConf[1])
self.marketDataManager.init(pair, cretenInterval)
self.marketRulesManager.init(pair.getSymbol())
strategyExecutor = StrategyExecutor()
self.strategyManager.addStrategyExecutor(strategyExecutor)
for strategyConf in inputConf['realtimetest']['strategies']:
strategy = StrategyFactory.getStrategy(strategyConf, pair, cretenExecDetlId,
self.exchangeClient, self.marketDataManager,
self.marketRulesManager, self.portfolioManager,
self.orderManager)
strategyExecutor.addStrategy(strategy)
self.exchangeDataListener.registerCandleListener(pair, cretenInterval, [self.exchangeEventSimulator.simulateEvent, strategyExecutor.execute])
self.portfolioManager.init()
self.exchangeDataListener.registerUserDataListener()
self.exchangeDataListener.start()
while True:
time.sleep(1)
def __init__(self, exchangeClient, inputConfRaw, cretenExecId): super(BackTester, self).__init__() self.exchangeClient = exchangeClient self.inputConfRaw = inputConfRaw self.cretenExecId = cretenExecId self.marketDataManager = MarketDataManager(self.exchangeClient) self.marketRulesManager = MarketRulesManager(self.exchangeClient) self.portfolioManager = PortfolioManager(self.exchangeClient) self.strategyManager = StrategyManager() self.orderManager = OrderManager(self.exchangeClient, self.marketRulesManager, self.strategyManager) self.exchangeDataListener = BacktestDataListener(self.exchangeClient, self.marketDataManager, self.marketRulesManager, self.portfolioManager, self.orderManager) self.exchangeEventSimulator = ExchangeEventSimulator(self.marketDataManager, self.orderManager, self.portfolioManager, self.exchangeDataListener)
def test_macd_rsi_adx_atr_obv_bb(self):
tickers = ["TSLA", "SNAP"]
strategies = [StrategyCII()]
manager = \
StrategyManager(
strategies=strategies,
tickers=tickers
)
stocks_per_strategy = manager.stocks_per_strategy
for stock_per_strategy in stocks_per_strategy:
for stock in stocks_per_strategy[stock_per_strategy]:
print(stock.price_info)
plotter = Plotter(period=1000)
plotter.plot_stock(stock, collapse_indicators=False)
print("Analysis has been run")
if DEVELOPMENT == True:
plt.show()
test_date = "14/07/2020"
test_df = stocks_per_strategy[StrategyCII.name][0].price_info
ticker = "TSLA"
values = [318.0, 286.2, 311.2, 303.359, 117090500.0]
i = 0
for metric in ["High", "Low", "Open", "Close", "Volume"]:
value = TestIndicators.truncate(test_df[ticker][metric].loc[
test_df[ticker][metric].index == datetime.datetime.strptime(
test_date, "%d/%m/%Y")].iloc[0])
assert value == TestIndicators.truncate(values[i]), value
i += 1
class BackTester(CretenEngine):
def __init__(self, exchangeClient, inputConfRaw, cretenExecId):
super(BackTester, self).__init__()
self.exchangeClient = exchangeClient
self.inputConfRaw = inputConfRaw
self.cretenExecId = cretenExecId
self.marketDataManager = MarketDataManager(self.exchangeClient)
self.marketRulesManager = MarketRulesManager(self.exchangeClient)
self.portfolioManager = PortfolioManager(self.exchangeClient)
self.strategyManager = StrategyManager()
self.orderManager = OrderManager(self.exchangeClient, self.marketRulesManager, self.strategyManager)
self.exchangeDataListener = BacktestDataListener(self.exchangeClient, self.marketDataManager, self.marketRulesManager, self.portfolioManager, self.orderManager)
self.exchangeEventSimulator = ExchangeEventSimulator(self.marketDataManager, self.orderManager, self.portfolioManager, self.exchangeDataListener)
def initPortfolio(self, portfolio):
self.portfolioManager.clear()
for position in portfolio:
self.portfolioManager.addPosition(Position(position['asset'], position['quantity']))
def _revertOpenTrades(self, strategyExecId):
trades = TradeManager.getAllTrades(strategyExecId = strategyExecId, tradeState = REF_TRADE_STATE.OPENED)
self.log.debug('')
self.log.debug('Open trades to be reversed: ' + str(len(trades)))
for trade in trades:
self.log.debug('Reverting open trade ' + str(trade.trade_id))
orders = TradeManager.getAllOrders(tradeId = trade.trade_id, orderState = [REF_ORDER_STATE.FILLED, REF_ORDER_STATE.PARTIALLY_FILLED])
for dbOrder in orders:
order = Order()
order.setFromEntity(dbOrder)
self.log.debug('Reverting order ' + str(order))
basePosition = self.portfolioManager.getPosition(trade.base_asset)
quotePosition = self.portfolioManager.getPosition(trade.quote_asset)
if order.getOrderSide() == OrderSide.BUY:
basePosition.setFree(basePosition.getFree() - float(order.getQty()))
quotePosition.setFree(quotePosition.getFree() + float(order.getQty() * order.getPrice()))
else:
basePosition.setFree(basePosition.getFree() + float(order.getQty()))
quotePosition.setFree(quotePosition.getFree() - float(order.getQty() * order.getPrice()))
# transaction nesting is required to ensure that session invalidation in below method does not
# detach objects (trades and orders) loaded and iterated within this method
Db.Session().begin_nested()
self.exchangeDataListener.processPortfolioUpdate(basePosition)
Db.Session().begin_nested()
self.exchangeDataListener.processPortfolioUpdate(quotePosition)
def _showPerformance(self, strategyExecId):
self.log.info('')
self.log.info(Style.BRIGHT + Back.BLUE + Fore.LIGHTWHITE_EX + 'PERFORMANCE' + Style.RESET_ALL)
perf = StrategyPerformance(strategyExecId)
perf.printStats()
def run(self):
with Timer("BackTester::run", endDebugLevel = 'INFO'):
inputConf = json.loads(self.inputConfRaw)
jsonschema.validate(inputConf, BacktestSchema.schema)
# generate backtest configuration based on the input file
if 'backtestConf' in inputConf:
for conf in inputConf['backtestConf']:
backtestConf = BacktestGenerator.getBacktest(conf)
self.log.debug("Generated backtest config: " + str(backtestConf))
self.log.debug('')
if 'backtest' not in inputConf:
inputConf['backtest'] = []
inputConf['backtest'] += backtestConf
for conf in inputConf['backtest']:
with Db.session_scope():
ced = ExecManager.createCretenExecDetl(self.cretenExecId, conf)
cretenExecDetlId = ced.creten_exec_detl_id
self.exchangeDataListener.setCretenExecDetlId(cretenExecDetlId)
self.exchangeEventSimulator.setCretenExecDetlId(cretenExecDetlId)
for pairConf in conf['pairs']:
pair = Pair(baseAsset = pairConf[0], quoteAsset = pairConf[1])
self.log.info('')
self.log.info('Loading market rules')
self.marketRulesManager.init([pair.getSymbol()])
self.log.info('Loading market rules completed')
self.log.info('')
for strategyConf in conf['strategies']:
strategy = StrategyFactory.getStrategy(strategyConf, pair, cretenExecDetlId,
self.exchangeClient, self.marketDataManager,
self.marketRulesManager, self.portfolioManager, self.orderManager)
self.strategyManager.reset()
strategyExecutor = StrategyExecutor()
strategyExecutor.addStrategy(strategy)
self.strategyManager.addStrategyExecutor(strategyExecutor)
startTimestamp = datetime.strptime(conf['start_tmstmp'], BACKTEST_TMSTMP_FORMAT)
endTimestamp = datetime.strptime(conf['end_tmstmp'], BACKTEST_TMSTMP_FORMAT)
self.log.info('Backtesting period: ' + str(startTimestamp) + ' - ' + str(endTimestamp))
self.log.info('')
self.exchangeDataListener.resetCandleListener()
self.exchangeDataListener.resetUserDataListener()
self.marketDataManager.removeAllCandles()
self.orderManager.reset()
self.log.info('Initialize portfolio:')
for position in conf['portfolio']:
self.log.info('\t' + position['asset'] + ': ' + str(position['quantity']))
self.log.info('')
self.initPortfolio(conf['portfolio'])
interval = getattr(CretenInterval, "INTERVAL_" + conf['interval'])
self.exchangeDataListener.init(startTimestamp, endTimestamp)
self.exchangeDataListener.registerCandleListener(pair, interval, [self.exchangeEventSimulator.simulateEvent, strategyExecutor.execute])
self.exchangeDataListener.start()
# revert open trades in order not to interfere with overall statistics
self._revertOpenTrades(strategy.getStrategyExecId())
# evaluate results
pos = self.portfolioManager.getPosition(pair.getQuoteAsset())
self.log.info('')
self.log.info('Final balance for ' + pair.getQuoteAsset() + ': ' + str(pos.getFree()))
# calculate metrics
self._showPerformance(strategy.getStrategyExecId())
ced.exec_state = REF_EXEC_STATE.FINISHED
with Db.session_scope():
Db.Session().add(ced)
