class PMMRefreshToleranceUnitTest(unittest.TestCase):
start: pd.Timestamp = pd.Timestamp("2019-01-01", tz="UTC")
end: pd.Timestamp = pd.Timestamp("2019-01-01 01:00:00", tz="UTC")
start_timestamp: float = start.timestamp()
end_timestamp: float = end.timestamp()
trading_pair = "HBOT-ETH"
base_asset = trading_pair.split("-")[0]
quote_asset = trading_pair.split("-")[1]
def simulate_maker_market_trade(self, is_buy: bool, quantity: Decimal, price: Decimal):
order_book = self.market.get_order_book(self.trading_pair)
trade_event = OrderBookTradeEvent(
self.trading_pair,
self.clock.current_timestamp,
TradeType.BUY if is_buy else TradeType.SELL,
price,
quantity
)
order_book.apply_trade(trade_event)
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size, self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange()
self.mid_price = 100
self.bid_spread = 0.01
self.ask_spread = 0.01
self.order_refresh_time = 30
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("HBOT", 500)
self.market.set_balance("ETH", 5000)
self.market.set_quantization_param(
QuantizationParams(
self.trading_pair, 6, 6, 6, 6
)
)
self.market_info = MarketTradingPairTuple(self.market, self.trading_pair,
self.base_asset, self.quote_asset)
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
self.one_level_strategy: PureMarketMakingStrategy = PureMarketMakingStrategy()
self.one_level_strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_refresh_time=4,
filled_order_delay=8,
hanging_orders_enabled=True,
hanging_orders_cancel_pct=0.05,
order_refresh_tolerance_pct=0
)
self.multi_levels_strategy: PureMarketMakingStrategy = PureMarketMakingStrategy()
self.multi_levels_strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_levels=5,
order_level_spread=Decimal("0.01"),
order_refresh_time=4,
filled_order_delay=8,
order_refresh_tolerance_pct=0
)
self.hanging_order_multiple_strategy = PureMarketMakingStrategy()
self.hanging_order_multiple_strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_levels=5,
order_level_spread=Decimal("0.01"),
order_refresh_time=4,
filled_order_delay=8,
order_refresh_tolerance_pct=0,
hanging_orders_enabled=True
)
def test_active_orders_are_cancelled_when_mid_price_moves(self):
strategy = self.one_level_strategy
self.clock.add_iterator(strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
old_bid = strategy.active_buys[0]
old_ask = strategy.active_sells[0]
# Not the order refresh time yet, orders should remain the same
self.clock.backtest_til(self.start_timestamp + 3 * self.clock_tick_size)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
self.assertEqual(old_bid.client_order_id, strategy.active_buys[0].client_order_id)
self.assertEqual(old_ask.client_order_id, strategy.active_sells[0].client_order_id)
self.market.order_books[self.trading_pair].apply_diffs([OrderBookRow(99.5, 30, 2)],
[OrderBookRow(100.1, 30, 2)], 2)
self.clock.backtest_til(self.start_timestamp + 6 * self.clock_tick_size)
new_bid = strategy.active_buys[0]
new_ask = strategy.active_sells[0]
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
self.assertNotEqual(old_ask, new_ask)
self.assertNotEqual(old_bid, new_bid)
def test_active_orders_are_kept_when_within_tolerance(self):
strategy = self.one_level_strategy
self.clock.add_iterator(strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
old_bid = strategy.active_buys[0]
old_ask = strategy.active_sells[0]
self.clock.backtest_til(self.start_timestamp + 6 * self.clock_tick_size)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
new_bid = strategy.active_buys[0]
new_ask = strategy.active_sells[0]
self.assertEqual(old_ask, new_ask)
self.assertEqual(old_bid, new_bid)
self.clock.backtest_til(self.start_timestamp + 10 * self.clock_tick_size)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(1, len(strategy.active_sells))
new_bid = strategy.active_buys[0]
new_ask = strategy.active_sells[0]
self.assertEqual(old_ask, new_ask)
self.assertEqual(old_bid, new_bid)
def test_multi_levels_active_orders_are_cancelled_when_mid_price_moves(self):
strategy = self.multi_levels_strategy
self.clock.add_iterator(strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
old_buys = strategy.active_buys
old_sells = strategy.active_sells
self.market.order_books[self.trading_pair].apply_diffs([OrderBookRow(99.5, 30, 2)],
[OrderBookRow(100.1, 30, 2)], 2)
self.clock.backtest_til(self.start_timestamp + 6 * self.clock_tick_size)
new_buys = strategy.active_buys
new_sells = strategy.active_sells
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
self.assertNotEqual([o.client_order_id for o in old_sells], [o.client_order_id for o in new_sells])
self.assertNotEqual([o.client_order_id for o in old_buys], [o.client_order_id for o in new_buys])
def test_multiple_active_orders_are_kept_when_within_tolerance(self):
strategy = self.multi_levels_strategy
self.clock.add_iterator(strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
old_buys = strategy.active_buys
old_sells = strategy.active_sells
self.clock.backtest_til(self.start_timestamp + 6 * self.clock_tick_size)
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
new_buys = strategy.active_buys
new_sells = strategy.active_sells
self.assertEqual([o.client_order_id for o in old_sells], [o.client_order_id for o in new_sells])
self.assertEqual([o.client_order_id for o in old_buys], [o.client_order_id for o in new_buys])
self.clock.backtest_til(self.start_timestamp + 10 * self.clock_tick_size)
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
new_buys = strategy.active_buys
new_sells = strategy.active_sells
self.assertEqual([o.client_order_id for o in old_sells], [o.client_order_id for o in new_sells])
self.assertEqual([o.client_order_id for o in old_buys], [o.client_order_id for o in new_buys])
def test_hanging_orders_multiple_orders_with_refresh_tolerance(self):
strategy = self.hanging_order_multiple_strategy
self.clock.add_iterator(strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
self.simulate_maker_market_trade(True, Decimal("100"), Decimal("101.1"))
# Before refresh_time hanging orders are not yet created
self.clock.backtest_til(self.start_timestamp + strategy.order_refresh_time / 2)
self.assertEqual(1, len(self.maker_order_fill_logger.event_log))
self.assertEqual(5, len(strategy.active_buys))
self.assertEqual(4, len(strategy.active_sells))
self.assertEqual(0, len(strategy.hanging_order_ids))
# At order_refresh_time (4 seconds), hanging order are created
# Ask is filled and due to delay is not replenished immediately
# Bid orders are now hanging and active
self.clock.backtest_til(self.start_timestamp + strategy.order_refresh_time + 1)
self.assertEqual(1, len(strategy.active_buys))
self.assertEqual(0, len(strategy.active_sells))
self.assertEqual(1, len(strategy.hanging_order_ids))
# At filled_order_delay (8 seconds), new sets of bid and ask orders are created
self.clock.backtest_til(self.start_timestamp + strategy.order_refresh_time + strategy.filled_order_delay + 1)
self.assertEqual(6, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
self.assertEqual(1, len(strategy.hanging_order_ids))
# Check all hanging order ids are indeed in active bids list
self.assertTrue(all(h in [order.client_order_id for order in strategy.active_buys]
for h in strategy.hanging_order_ids))
old_buys = [o for o in strategy.active_buys if o.client_order_id not in strategy.hanging_order_ids]
old_sells = [o for o in strategy.active_sells if o.client_order_id not in strategy.hanging_order_ids]
self.clock.backtest_til(self.start_timestamp + strategy.order_refresh_time + strategy.filled_order_delay + 1)
self.assertEqual(6, len(strategy.active_buys))
self.assertEqual(5, len(strategy.active_sells))
new_buys = [o for o in strategy.active_buys if o.client_order_id not in strategy.hanging_order_ids]
new_sells = [o for o in strategy.active_sells if o.client_order_id not in strategy.hanging_order_ids]
self.assertEqual([o.client_order_id for o in old_sells], [o.client_order_id for o in new_sells])
self.assertEqual([o.client_order_id for o in old_buys], [o.client_order_id for o in new_buys])
class PMMRefreshToleranceUnitTest(unittest.TestCase):
start: pd.Timestamp = pd.Timestamp("2019-01-01", tz="UTC")
end: pd.Timestamp = pd.Timestamp("2019-01-01 01:00:00", tz="UTC")
start_timestamp: float = start.timestamp()
end_timestamp: float = end.timestamp()
trading_pair = "HBOT-ETH"
base_asset = trading_pair.split("-")[0]
quote_asset = trading_pair.split("-")[1]
def simulate_maker_market_trade(self, is_buy: bool, quantity: Decimal,
price: Decimal):
order_book = self.market.get_order_book(self.trading_pair)
trade_event = OrderBookTradeEvent(
self.trading_pair, self.clock.current_timestamp,
TradeType.BUY if is_buy else TradeType.SELL, price, quantity)
order_book.apply_trade(trade_event)
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange()
self.mid_price = 100
self.bid_spread = 0.01
self.ask_spread = 0.01
self.order_refresh_time = 30
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("HBOT", 500)
self.market.set_balance("ETH", 5000)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair, 6, 6, 6, 6))
self.market_info = MarketTradingPairTuple(self.market,
self.trading_pair,
self.base_asset,
self.quote_asset)
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled,
self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
def test_strategy_ping_pong_on_ask_fill(self):
self.strategy = PureMarketMakingStrategy()
self.strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_refresh_time=5,
filled_order_delay=5,
order_refresh_tolerance_pct=-1,
ping_pong_enabled=True,
)
self.clock.add_iterator(self.strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.simulate_maker_market_trade(True, Decimal(100), Decimal("101.1"))
self.clock.backtest_til(self.start_timestamp +
2 * self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(0, len(self.strategy.active_sells))
old_bid = self.strategy.active_buys[0]
self.clock.backtest_til(self.start_timestamp +
7 * self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(0, len(self.strategy.active_sells))
# After new order create cycle (after filled_order_delay), check if a new order is created
self.assertTrue(old_bid.client_order_id !=
self.strategy.active_buys[0].client_order_id)
self.simulate_maker_market_trade(False, Decimal(100), Decimal("98.9"))
self.clock.backtest_til(self.start_timestamp +
15 * self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
def test_strategy_ping_pong_on_bid_fill(self):
self.strategy = PureMarketMakingStrategy()
self.strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_refresh_time=5,
filled_order_delay=5,
order_refresh_tolerance_pct=-1,
ping_pong_enabled=True,
)
self.clock.add_iterator(self.strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.simulate_maker_market_trade(False, Decimal(100), Decimal("98.9"))
self.clock.backtest_til(self.start_timestamp +
2 * self.clock_tick_size)
self.assertEqual(0, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
old_ask = self.strategy.active_sells[0]
self.clock.backtest_til(self.start_timestamp +
7 * self.clock_tick_size)
self.assertEqual(0, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
# After new order create cycle (after filled_order_delay), check if a new order is created
self.assertTrue(old_ask.client_order_id !=
self.strategy.active_sells[0].client_order_id)
self.simulate_maker_market_trade(True, Decimal(100), Decimal("101.1"))
self.clock.backtest_til(self.start_timestamp +
15 * self.clock_tick_size)
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
def test_multiple_orders_ping_pong(self):
self.strategy = PureMarketMakingStrategy()
self.strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_levels=5,
order_level_amount=Decimal("1"),
order_level_spread=Decimal("0.01"),
order_refresh_time=5,
order_refresh_tolerance_pct=-1,
filled_order_delay=5,
ping_pong_enabled=True,
)
self.clock.add_iterator(self.strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(5, len(self.strategy.active_buys))
self.assertEqual(5, len(self.strategy.active_sells))
self.simulate_maker_market_trade(True, Decimal(100), Decimal("102.50"))
# After market trade happens, 2 of the asks orders are filled.
self.assertEqual(5, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
2 * self.clock_tick_size)
# Not refreshing time yet, still same active orders
self.assertEqual(5, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
old_bids = self.strategy.active_buys
old_asks = self.strategy.active_sells
self.clock.backtest_til(self.start_timestamp +
7 * self.clock_tick_size)
# After order refresh, same numbers of orders but it's a new set.
self.assertEqual(5, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
self.assertNotEqual(
[o.client_order_id for o in old_asks],
[o.client_order_id for o in self.strategy.active_sells])
self.assertNotEqual(
[o.client_order_id for o in old_bids],
[o.client_order_id for o in self.strategy.active_buys])
# Simulate sell trade, the first bid gets taken out
self.simulate_maker_market_trade(False, Decimal(100), Decimal("98.9"))
self.assertEqual(4, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
13 * self.clock_tick_size)
# After refresh, same numbers of orders
self.assertEqual(4, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
# Another bid order is filled.
self.simulate_maker_market_trade(False, Decimal(100), Decimal("97.9"))
self.assertEqual(3, len(self.strategy.active_buys))
self.assertEqual(3, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
20 * self.clock_tick_size)
# After refresh, numbers of orders back to order_levels of 5
self.assertEqual(5, len(self.strategy.active_buys))
self.assertEqual(5, len(self.strategy.active_sells))
class PureMMTakeIfCrossUnitTest(unittest.TestCase):
start: pd.Timestamp = pd.Timestamp("2019-01-01", tz="UTC")
end: pd.Timestamp = pd.Timestamp("2019-01-01 01:00:00", tz="UTC")
start_timestamp: float = start.timestamp()
end_timestamp: float = end.timestamp()
trading_pair = "HBOT-ETH"
base_asset = trading_pair.split("-")[0]
quote_asset = trading_pair.split("-")[1]
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.market: BacktestMarket = BacktestMarket()
self.book_data: MockOrderBookLoader = MockOrderBookLoader(
self.trading_pair, self.base_asset, self.quote_asset)
self.mid_price = 100
self.bid_spread = 0.01
self.ask_spread = 0.01
self.order_refresh_time = 30
self.book_data.set_balanced_order_book(mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.add_data(self.book_data)
self.market.set_balance("HBOT", 500)
self.market.set_balance("ETH", 5000)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair, 6, 6, 6, 6))
self.market_info = MarketTradingPairTuple(self.market,
self.trading_pair,
self.base_asset,
self.quote_asset)
self.clock.add_iterator(self.market)
self.order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled,
self.order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
self.ext_market: BacktestMarket = BacktestMarket()
self.ext_data: MockOrderBookLoader = MockOrderBookLoader(
self.trading_pair, self.base_asset, self.quote_asset)
self.ext_market_info: MarketTradingPairTuple = MarketTradingPairTuple(
self.ext_market, self.trading_pair, self.base_asset,
self.quote_asset)
self.ext_data.set_balanced_order_book(mid_price=100,
min_price=1,
max_price=400,
price_step_size=1,
volume_step_size=100)
self.ext_market.add_data(self.ext_data)
self.order_book_asset_del = OrderBookAssetPriceDelegate(
self.ext_market, self.trading_pair)
self.one_level_strategy = PureMarketMakingStrategy()
self.one_level_strategy.init_params(
self.market_info,
bid_spread=Decimal("0.01"),
ask_spread=Decimal("0.01"),
order_amount=Decimal("1"),
order_refresh_time=3.0,
filled_order_delay=3.0,
order_refresh_tolerance_pct=-1,
minimum_spread=-1,
asset_price_delegate=self.order_book_asset_del,
take_if_crossed=True)
def simulate_maker_market_trade(self, is_buy: bool, quantity: Decimal,
price: Decimal):
order_book = self.market.get_order_book(self.trading_pair)
trade_event = OrderBookTradeEvent(
self.trading_pair, self.clock.current_timestamp,
TradeType.BUY if is_buy else TradeType.SELL, price, quantity)
order_book.apply_trade(trade_event)
def test_strategy_take_if_crossed_bid_order(self):
simulate_order_book_widening(
self.ext_market.get_order_book(self.trading_pair), 120.0, 130.0)
self.strategy = self.one_level_strategy
self.clock.add_iterator(self.strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(0, len(self.order_fill_logger.event_log))
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
2 * self.clock_tick_size)
self.assertEqual(1, len(self.order_fill_logger.event_log))
self.assertEqual(0, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
7 * self.clock_tick_size)
self.assertEqual(2, len(self.order_fill_logger.event_log))
self.assertEqual(0, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
10 * self.clock_tick_size)
self.assertEqual(3, len(self.order_fill_logger.event_log))
self.assertEqual(0, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.order_fill_logger.clear()
def test_strategy_take_if_crossed_ask_order(self):
simulate_order_book_widening(
self.ext_market.get_order_book(self.trading_pair), 80.0, 90.0)
self.strategy = self.one_level_strategy
self.clock.add_iterator(self.strategy)
self.clock.backtest_til(self.start_timestamp + self.clock_tick_size)
self.assertEqual(0, len(self.order_fill_logger.event_log))
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(1, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
2 * self.clock_tick_size)
self.assertEqual(1, len(self.order_fill_logger.event_log))
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(0, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
6 * self.clock_tick_size)
self.assertEqual(2, len(self.order_fill_logger.event_log))
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(0, len(self.strategy.active_sells))
self.clock.backtest_til(self.start_timestamp +
10 * self.clock_tick_size)
self.assertEqual(3, len(self.order_fill_logger.event_log))
self.assertEqual(1, len(self.strategy.active_buys))
self.assertEqual(0, len(self.strategy.active_sells))
self.order_fill_logger.clear()