def generate_orders(self,
state: dt.datetime,
backtest: PredefinedAssetBacktest = None) -> list:
date = state.date()
contract = Security(ric='TestRic')
orders = []
units_to_trade = 1
""" enter trade is a TWAP order between 10 and 10:30 """
exec_start = dt.datetime.combine(date, dt.time(10))
exec_end = dt.datetime.combine(date, dt.time(10, 30))
orders.append(
OrderTWAP(instrument=contract,
quantity=units_to_trade,
generation_time=state,
window=TimeWindow(start=exec_start, end=exec_end),
source=str(self.__class__)))
""" exit the intraday quantity at TWAP between 14 and 14:30 """
twap_start = dt.datetime.combine(date, dt.time(14))
twap_end = dt.datetime.combine(date, dt.time(14, 30))
orders.append(
OrderTWAP(instrument=contract,
quantity=units_to_trade * -1,
generation_time=state,
window=TimeWindow(start=twap_start, end=twap_end),
source=str(self.__class__)))
return orders
def generate_orders(self,
time: dt.datetime,
backtest: PredefinedAssetBacktest = None) -> list:
date = time.date()
if date == dt.date(2021, 1, 5):
return [
OrderMarketOnClose(instrument=Security(ric='TestRic'),
quantity=1,
generation_time=time,
execution_date=date,
source='Test')
]
else:
return []
def from_dict(cls,
values: dict) -> Optional[Union['Instrument', 'Security']]:
from gs_quant.target.instrument import AssetClass, AssetType
if not values:
return None
instrument_type = cls.asset_class_and_type_to_instrument().get(
(get_enum_value(AssetClass, values.pop('asset_class')),
get_enum_value(AssetType, values.pop('type'))))
if instrument_type:
return instrument_type._from_dict(values)
else:
from gs_quant.instrument import Security
return Security.from_dict(values)
def test_backtest_predefined():
# Test simple MOC order
trigger = ExampleTestTrigger()
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
start = dt.date(2021, 1, 4)
mid = dt.date(2021, 1, 5)
end = dt.date(2021, 1, 6)
# these mocks are needed as the date functions need a GSSession
gs_quant.backtests.predefined_asset_engine.is_business_day = mock.Mock(
return_value=True)
gs_quant.backtests.predefined_asset_engine.business_day_offset = mock.Mock(
return_value=mid)
data_mgr = DataManager()
underlying = Security(ric='TestRic')
close_prices = pd.Series(dtype=float)
close_prices[start] = 1
close_prices[mid] = 1.5
close_prices[end] = 2
data_mgr.add_data_source(close_prices, DataFrequency.DAILY, underlying,
ValuationFixingType.PRICE)
engine = PredefinedAssetEngine(data_mgr=data_mgr)
backtest = engine.run_backtest(strategy, start=start, end=end)
perf = backtest.performance
holdings = backtest.historical_holdings
cash_asset = backtest.cash_asset
# 100 on the initial date
assert perf[start] == 100
# 100 on the next day as we traded MOC
assert perf[mid] == 100
assert holdings[mid][cash_asset] == 100 - 1.5
assert holdings[mid][underlying] == 1
# 100.5 = 98.5 (cash) + 2 ( test asset)
assert holdings[end][cash_asset] == 100 - 1.5
assert holdings[end][underlying] == 1
assert perf[end] == 100.5
# Test TWAP orders with no ON positions
twap_entry_mid = 16
twap_exit_mid = 25
twap_entry_end = 30
twap_exit_end = 40
data_twap = {
dt.datetime.combine(mid, dt.time(10, 30)): twap_entry_mid,
dt.datetime.combine(mid, dt.time(14, 30)): twap_exit_mid,
dt.datetime.combine(end, dt.time(10, 30)): twap_entry_end,
dt.datetime.combine(end, dt.time(14, 30)): twap_exit_end
}
data_mgr.add_data_source(pd.Series(data_twap), DataFrequency.REAL_TIME,
underlying, ValuationFixingType.PRICE)
trigger = FuturesExample()
strategy = Strategy(initial_portfolio=None, triggers=[trigger])
engine = PredefinedAssetEngine(data_mgr=data_mgr,
tz=timezone('Europe/London'))
backtest = engine.run_backtest(strategy, start=start, end=end)
perf = backtest.performance
holdings = backtest.historical_holdings
weights = backtest.historical_weights
cash_asset = backtest.cash_asset
# start: 100
assert perf[start] == 100
# mid: 100 + (twap_exit - twap_entry)
assert perf[mid] == 100 - twap_entry_mid + twap_exit_mid
assert holdings[mid][cash_asset] == perf[mid]
assert underlying not in holdings[mid]
assert weights[mid][cash_asset] == 1
assert underlying not in weights[mid]
# 100.5 = 98.5 (cash) + 2 ( test asset)
assert perf[
end] == 100 - twap_entry_mid + twap_exit_mid - twap_entry_end + twap_exit_end
assert holdings[end][cash_asset] == perf[end]
assert underlying not in holdings[end]
assert weights[end][cash_asset] == 1
assert underlying not in weights[end]