def main():
parser = argparse.ArgumentParser(description='Backtest an algorithm.')
# parser.add_argument("-a", "--algo", dest="algo", required=True, help="algorithm identifier")
parser.add_argument("-l", "--log-level", dest="log_level", choices=['DEBUG', 'INFO', 'WARN'], default="INFO", help="logging level")
parser.add_argument("-p", "--show-progress", dest="show_progress", action='store_true', help="log progress")
global args
args = parser.parse_args()
level = logging.INFO
if args.log_level == 'DEBUG':
level = logging.DEBUG
elif args.log_level == 'INFO':
level = logging.INFO
elif args.log_level == 'WARN':
level = logging.WARN
logging.basicConfig(level=level)
config = Config("config.conf")
data_provider = config.data_provider
venue_connection = Broker(data_provider)
orderbook_persist = BacktestOrderbookPersist()
order_book = OrderBook(venue_connection, orderbook_persist)
market_data = MarketData(venue_connection)
containers = []
# containers.append(Container(Algo(25, 10, 10), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 50, MarketDataPeriod.HOUR_4), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 50, MarketDataPeriod.DAY), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 60, MarketDataPeriod.DAY), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 70, MarketDataPeriod.DAY), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 80, MarketDataPeriod.DAY), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 90, MarketDataPeriod.DAY), 10000, order_book, market_data))
containers.append(Container(NakedBigShadow(7, 10, 100, MarketDataPeriod.DAY), 10000, order_book, market_data))
# containers.append(Container(Algo(15, 50, 100), 100000, order_book, market_data))
if args.show_progress is True:
progress_bar = ProgressBar(data_provider.expected_result_count, label='Backtest')
data_provider.set_progress_callback(lambda x: progress_bar.set(x))
venue_connection.start()
progress_bar.complete()
else:
venue_connection.start()
for container in containers:
display_results(container)
def main():
parser = argparse.ArgumentParser(description='Backtest an algorithm.')
# parser.add_argument("-a", "--algo", dest="algo", required=True, help="algorithm identifier")
parser.add_argument("-l",
"--log-level",
dest="log_level",
choices=['DEBUG', 'INFO', 'WARN'],
default="INFO",
help="logging level")
parser.add_argument("-p",
"--show-progress",
dest="show_progress",
action='store_true',
help="log progress")
global args
args = parser.parse_args()
level = logging.INFO
if args.log_level == 'DEBUG':
level = logging.DEBUG
elif args.log_level == 'INFO':
level = logging.INFO
elif args.log_level == 'WARN':
level = logging.WARN
logging.basicConfig(level=level)
config = Config("config.conf")
data_provider = config.data_provider
venue_connection = Broker(data_provider)
orderbook_persist = BacktestOrderbookPersist()
order_book = OrderBook(venue_connection, orderbook_persist)
market_data = MarketData(venue_connection)
containers = []
# containers.append(Container(Algo(25, 10, 10), 10000, order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 50, MarketDataPeriod.HOUR_4), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 50, MarketDataPeriod.DAY), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 60, MarketDataPeriod.DAY), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 70, MarketDataPeriod.DAY), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 80, MarketDataPeriod.DAY), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 90, MarketDataPeriod.DAY), 10000,
order_book, market_data))
containers.append(
Container(NakedBigShadow(7, 10, 100, MarketDataPeriod.DAY), 10000,
order_book, market_data))
# containers.append(Container(Algo(15, 50, 100), 100000, order_book, market_data))
if args.show_progress is True:
progress_bar = ProgressBar(data_provider.expected_result_count,
label='Backtest')
data_provider.set_progress_callback(lambda x: progress_bar.set(x))
venue_connection.start()
progress_bar.complete()
else:
venue_connection.start()
for container in containers:
display_results(container)
