def aud_usd_data_loader():
from nautilus_trader.backtest.data.providers import TestInstrumentProvider
from tests.test_kit.stubs import TestStubs
from tests.unit_tests.backtest.test_backtest_config import TEST_DATA_DIR
instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD", venue=Venue("SIM"))
def parse_csv_tick(df, instrument_id):
yield instrument
for r in df.values:
ts = secs_to_nanos(pd.Timestamp(r[0]).timestamp())
tick = QuoteTick(
instrument_id=instrument_id,
bid=Price.from_str(str(r[1])),
ask=Price.from_str(str(r[2])),
bid_size=Quantity.from_int(1_000_000),
ask_size=Quantity.from_int(1_000_000),
ts_event=ts,
ts_init=ts,
)
yield tick
catalog = DataCatalog.from_env()
instrument_provider = InstrumentProvider()
instrument_provider.add(instrument)
process_files(
glob_path=f"{TEST_DATA_DIR}/truefx-audusd-ticks.csv",
reader=CSVReader(
block_parser=partial(parse_csv_tick, instrument_id=TestStubs.audusd_id()),
as_dataframe=True,
),
instrument_provider=instrument_provider,
catalog=catalog,
)
def test_batch_generic_data(self):
# Arrange
TestStubs.setup_news_event_persistence()
process_files(
glob_path=f"{PACKAGE_ROOT}/data/news_events.csv",
reader=CSVReader(block_parser=TestStubs.news_event_parser),
catalog=self.catalog,
)
data_config = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
data_cls_path=f"{NewsEventData.__module__}.NewsEventData",
client_id="NewsClient",
)
# Add some arbitrary instrument data to appease BacktestEngine
instrument_data_config = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
instrument_id=self.catalog.instruments(as_nautilus=True)[0].id.value,
data_cls_path=f"{InstrumentStatusUpdate.__module__}.InstrumentStatusUpdate",
)
run_config = BacktestRunConfig(
data=[data_config, instrument_data_config],
persistence=BetfairTestStubs.persistence_config(catalog_path=self.catalog.path),
venues=[BetfairTestStubs.betfair_venue_config()],
strategies=[],
batch_size_bytes=parse_bytes("1mib"),
)
# Act
node = BacktestNode()
node.run_sync([run_config])
# Assert
assert node
def test_csv_reader_dataframe_separator(self):
bar_type = TestDataStubs.bartype_adabtc_binance_1min_last()
instrument = TestInstrumentProvider.adabtc_binance()
wrangler = BarDataWrangler(bar_type, instrument)
def parser(data):
data["timestamp"] = data["timestamp"].astype("datetime64[ms]")
bars = wrangler.process(data.set_index("timestamp"))
return bars
binance_spot_header = [
"timestamp",
"open",
"high",
"low",
"close",
"volume",
"ts_close",
"quote_volume",
"n_trades",
"taker_buy_base_volume",
"taker_buy_quote_volume",
"ignore",
]
reader = CSVReader(block_parser=parser,
header=binance_spot_header,
separator="|")
in_ = process_files(
glob_path=f"{TEST_DATA_DIR}/ADABTC_pipe_separated-1m-2021-11-*.csv",
reader=reader,
catalog=self.catalog,
)
assert sum(in_.values()) == 10
def test_catalog_generic_data_not_overwritten(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
objs = self.catalog.generic_data(
cls=NewsEventData, filter_expr=ds.field("currency") == "USD", as_nautilus=True
)
# Clear the catalog again
data_catalog_setup()
self.catalog = DataCatalog.from_env()
assert (
len(self.catalog.generic_data(NewsEventData, raise_on_empty=False, as_nautilus=True))
== 0
)
chunk1, chunk2 = objs[:10], objs[5:15]
# Act, Assert
write_objects(catalog=self.catalog, chunk=chunk1)
assert len(self.catalog.generic_data(NewsEventData)) == 10
write_objects(catalog=self.catalog, chunk=chunk2)
assert len(self.catalog.generic_data(NewsEventData)) == 15
def test_data_catalog_generic_data(self):
TestStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestStubs.news_event_parser),
catalog=self.catalog,
)
df = self.catalog.generic_data(cls=NewsEventData, filter_expr=ds.field("currency") == "USD")
assert len(df) == 22925
data = self.catalog.generic_data(
cls=NewsEventData, filter_expr=ds.field("currency") == "CHF", as_nautilus=True
)
assert len(data) == 2745 and isinstance(data[0], GenericData)
def test_backtest_data_config_filters(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
c = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
data_cls=NewsEventData,
filter_expr="field('currency') == 'CHF'",
client_id="NewsClient",
)
result = c.load()
assert len(result["data"]) == 2745
def test_csv_reader_dataframe(self):
def parser(data):
if data is None:
return
data.loc[:, "timestamp"] = pd.to_datetime(data["timestamp"])
instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD")
wrangler = QuoteTickDataWrangler(instrument)
ticks = wrangler.process(data.set_index("timestamp"))
yield from ticks
reader = CSVReader(block_parser=parser, as_dataframe=True)
raw_file = make_raw_files(
glob_path=f"{TEST_DATA_DIR}/truefx-audusd-ticks.csv")[0]
result = process_raw_file(catalog=self.catalog,
raw_file=raw_file,
reader=reader)
assert result == 100000
def test_backtest_data_config_generic_data(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
c = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
data_cls=NewsEventData,
client_id="NewsClient",
)
result = c.load()
assert len(result["data"]) == 86985
assert result["instrument"] is None
assert result["client_id"] == ClientId("NewsClient")
def test_split_and_serialize_generic_data_gets_correct_class(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{TEST_DATA_DIR}/news_events.csv",
reader=CSVReader(block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
objs = self.catalog.generic_data(
cls=NewsEventData, filter_expr=ds.field("currency") == "USD", as_nautilus=True
)
# Act
split = split_and_serialize(objs)
# Assert
assert NewsEventData in split
assert None in split[NewsEventData]
assert len(split[NewsEventData][None]) == 22941
def test_feather_writer_generic_data(self):
# Arrange
TestPersistenceStubs.setup_news_event_persistence()
process_files(
glob_path=f"{PACKAGE_ROOT}/data/news_events.csv",
reader=CSVReader(
block_parser=TestPersistenceStubs.news_event_parser),
catalog=self.catalog,
)
data_config = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
data_cls=NewsEventData,
client_id="NewsClient",
)
# Add some arbitrary instrument data to appease BacktestEngine
instrument_data_config = BacktestDataConfig(
catalog_path="/root/",
catalog_fs_protocol="memory",
data_cls=InstrumentStatusUpdate,
)
run_config = BacktestRunConfig(
data=[data_config, instrument_data_config],
persistence=BetfairTestStubs.persistence_config(
catalog_path=self.catalog.path),
venues=[BetfairTestStubs.betfair_venue_config()],
strategies=[],
)
# Act
node = BacktestNode()
node.run_sync([run_config])
# Assert
result = self.catalog.read_backtest(backtest_run_id=run_config.id,
raise_on_failed_deserialize=True)
result = Counter([r.__class__.__name__ for r in result])
assert result["NewsEventData"] == 86985
def test_data_catalog_bars(self):
# Arrange
bar_type = TestDataStubs.bartype_adabtc_binance_1min_last()
instrument = TestInstrumentProvider.adabtc_binance()
wrangler = BarDataWrangler(bar_type, instrument)
def parser(data):
data["timestamp"] = data["timestamp"].astype("datetime64[ms]")
bars = wrangler.process(data.set_index("timestamp"))
return bars
binance_spot_header = [
"timestamp",
"open",
"high",
"low",
"close",
"volume",
"ts_close",
"quote_volume",
"n_trades",
"taker_buy_base_volume",
"taker_buy_quote_volume",
"ignore",
]
reader = CSVReader(block_parser=parser, header=binance_spot_header)
# Act
_ = process_files(
glob_path=f"{TEST_DATA_DIR}/ADABTC-1m-2021-11-*.csv",
reader=reader,
catalog=self.catalog,
)
# Assert
bars = self.catalog.bars()
assert len(bars) == 21