# ------------------------
# price types include BID, ASK, MID, LAST
# Current aggregations TICK, SECOND, MINUTE, HOUR, DAY, VOLUME, VALUE
# These can be combined in any way, for example;
tick_bars = BarSpecification(100, BarAggregation.TICK, PriceType.LAST)
time_bars = BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST)
volu_bars = BarSpecification(100, BarAggregation.VOLUME, PriceType.MID)
valu_bars = BarSpecification(1_000_000, BarAggregation.VALUE, PriceType.MID)
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = VolatilityMarketMaker(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=time_bars,
trade_size=Decimal("0.05"),
atr_period=20,
atr_multiple=1.0,
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
instrument_id = InstrumentId(
symbol=Symbol("BTC/USD"),
venue=Venue("BITMEX"),
)
strategy = VolatilityMarketMaker(
instrument_id=instrument_id,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
trade_size=Decimal("100"),
atr_period=20,
atr_multiple=1.0,
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
data.add_bars(
symbol=GBPUSD.symbol,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.BID,
data=TestDataProvider.gbpusd_1min_bid(), # Stub data from the test kit
)
data.add_bars(
symbol=GBPUSD.symbol,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.ASK,
data=TestDataProvider.gbpusd_1min_ask(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = VolatilityMarketMaker(
symbol=GBPUSD.symbol,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.BID),
trade_size=Decimal(500_000),
atr_multiple=3.0,
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_tick_cache=True,
# exec_db_type="redis",
# bypass_logging=True
)
# Create a fill model (optional)
fill_model = FillModel(
"api_key":
"BINANCE_API_KEY", # value is the environment variable key
"api_secret":
"BINANCE_API_SECRET", # value is the environment variable key
"sandbox_mode": False, # If clients use the testnet
},
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = VolatilityMarketMaker(
symbol=Symbol("ETH/USDT", Venue("BINANCE")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
trade_size=Decimal("0.05"),
atr_period=20,
atr_multiple=1.0,
order_id_tag="001",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()
data.add_bars(
instrument_id=GBPUSD.id,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.BID,
data=TestDataProvider.gbpusd_1min_bid(), # Stub data from the test kit
)
data.add_bars(
instrument_id=GBPUSD.id,
aggregation=BarAggregation.MINUTE,
price_type=PriceType.ASK,
data=TestDataProvider.gbpusd_1min_ask(), # Stub data from the test kit
)
# Instantiate your strategy
strategy = VolatilityMarketMaker(
instrument_id=GBPUSD.id,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.BID),
trade_size=Decimal(500_000),
atr_period=20,
atr_multiple=3.0,
order_id_tag="001",
)
# Build the backtest engine
engine = BacktestEngine(
data=data,
strategies=[strategy], # List of 'any' number of strategies
use_data_cache=True,
# exec_db_type="redis",
# bypass_logging=True
)
"api_key":
"BITMEX_API_KEY_SANDBOX", # value is the environment variable key
"api_secret":
"BITMEX_API_SECRET_SANDBOX", # value is the environment variable key
"sandbox_mode": True, # If clients use the testnet
},
},
}
# Instantiate your strategies to pass into the trading node. You could add
# custom options into the configuration file or even use another configuration
# file.
strategy = VolatilityMarketMaker(
symbol=Symbol("BTC/USD", Venue("BITMEX")),
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
trade_size=Decimal("10"),
atr_period=20,
atr_multiple=1.5,
order_id_tag="091",
)
# Instantiate the node passing a list of strategies and configuration
node = TradingNode(strategies=[strategy], config=config)
# Stop and dispose of the node with SIGINT/CTRL+C
if __name__ == "__main__":
try:
node.start()
finally:
node.dispose()