def btcusdt_binance() -> Instrument:
"""
Return the Binance BTC/USDT instrument for backtesting.
"""
return Instrument(
symbol=Symbol("BTC/USDT", Venue("BINANCE")),
asset_class=AssetClass.CRYPTO,
asset_type=AssetType.SPOT,
base_currency=BTC,
quote_currency=USDT,
settlement_currency=USDT,
is_inverse=False,
price_precision=2,
size_precision=6,
tick_size=Decimal("0.01"),
multiplier=Decimal("1"),
leverage=Decimal("1"),
lot_size=Quantity("1"),
max_quantity=Quantity("9000.0"),
min_quantity=Quantity("1e-06"),
max_notional=None,
min_notional=Money("10.00000000", USDT),
max_price=Price("1000000.0"),
min_price=Price("0.01"),
margin_init=Decimal(),
margin_maint=Decimal(),
maker_fee=Decimal("0.001"),
taker_fee=Decimal("0.001"),
financing={},
timestamp=UNIX_EPOCH,
)
def ethusd_bitmex(leverage: Decimal=Decimal("1.0")) -> Instrument:
"""
Return the BitMEX ETH/USD perpetual contract for backtesting.
"""
return Instrument(
symbol=Symbol("ETH/USD", Venue("BITMEX")),
asset_class=AssetClass.CRYPTO,
asset_type=AssetType.SWAP,
base_currency=ETH,
quote_currency=USD,
settlement_currency=BTC,
is_inverse=True,
price_precision=2,
size_precision=0,
tick_size=Decimal("0.05"),
multiplier=Decimal("1"),
leverage=leverage,
lot_size=Quantity(1),
max_quantity=Quantity("10000000.0"),
min_quantity=Quantity("1.0"),
max_notional=None,
min_notional=None,
max_price=Price("1000000.00"),
min_price=Price("0.05"),
margin_init=Decimal("0.02"),
margin_maint=Decimal("0.007"),
maker_fee=Decimal("-0.00025"),
taker_fee=Decimal("0.00075"),
financing={},
timestamp=UNIX_EPOCH,
)
def default_fx_ccy(symbol: Symbol, leverage: Decimal=Decimal("50")) -> Instrument:
"""
Return a default FX currency pair instrument from the given symbol.
Parameters
----------
symbol : Symbol
The currency pair symbol.
leverage : Decimal, optional
The leverage for the instrument.
Raises
------
ValueError
If the symbol.code length is not in range [6, 7].
"""
PyCondition.not_none(symbol, "symbol")
PyCondition.in_range_int(len(symbol.code), 6, 7, "len(symbol)")
base_currency = symbol.code[:3]
quote_currency = symbol.code[-3:]
# Check tick precision of quote currency
if quote_currency == 'JPY':
price_precision = 3
else:
price_precision = 5
return Instrument(
symbol=symbol,
asset_class=AssetClass.FX,
asset_type=AssetType.SPOT,
base_currency=Currency.from_str(base_currency),
quote_currency=Currency.from_str(quote_currency),
settlement_currency=Currency.from_str(quote_currency),
is_inverse=False,
price_precision=price_precision,
size_precision=0,
tick_size=Decimal(f"{1 / 10 ** price_precision:.{price_precision}f}"),
multiplier=Decimal("1"),
leverage=leverage,
lot_size=Quantity("1000"),
max_quantity=Quantity("1e7"),
min_quantity=Quantity("1000"),
max_price=None,
min_price=None,
max_notional=Money(50000000.00, USD),
min_notional=Money(1000.00, USD),
margin_init=Decimal("0.03"),
margin_maint=Decimal("0.03"),
maker_fee=Decimal("0.00002"),
taker_fee=Decimal("0.00002"),
financing={},
timestamp=UNIX_EPOCH,
)
def xbtusd_bitmex(leverage: Decimal = Decimal("1.0")) -> Instrument:
"""
Return the BitMEX XBT/USD perpetual contract for backtesting.
Parameters
----------
leverage : Decimal
The margined leverage for the instrument.
Returns
-------
Instrument
"""
instrument_id = InstrumentId(
symbol=Symbol("XBT/USD"),
venue=Venue("BITMEX"),
)
return Instrument(
instrument_id=instrument_id,
asset_class=AssetClass.CRYPTO,
asset_type=AssetType.SWAP,
base_currency=BTC,
quote_currency=USD,
settlement_currency=BTC,
is_inverse=True,
price_precision=1,
size_precision=0,
tick_size=Decimal("0.5"),
multiplier=Decimal("1"),
leverage=leverage,
lot_size=Quantity(1),
max_quantity=None,
min_quantity=None,
max_notional=Money("10000000.0", USD),
min_notional=Money("1.0", USD),
max_price=Price("1000000.0"),
min_price=Price("0.5"),
margin_init=Decimal("0.01"),
margin_maint=Decimal("0.0035"),
maker_fee=Decimal("-0.00025"),
taker_fee=Decimal("0.00075"),
financing={},
timestamp=UNIX_EPOCH,
)
def ethusdt_binance() -> Instrument:
"""
Return the Binance ETH/USDT instrument for backtesting.
Returns
-------
Instrument
"""
instrument_id = InstrumentId(
symbol=Symbol("ETH/USDT"),
venue=Venue("BINANCE"),
)
return Instrument(
instrument_id=instrument_id,
asset_class=AssetClass.CRYPTO,
asset_type=AssetType.SPOT,
base_currency=ETH,
quote_currency=USDT,
settlement_currency=USDT,
is_inverse=False,
price_precision=2,
size_precision=5,
tick_size=Decimal("0.01"),
multiplier=Decimal("1"),
leverage=Decimal("1"),
lot_size=Quantity("1"),
max_quantity=Quantity("9000"),
min_quantity=Quantity("1e-05"),
max_notional=None,
min_notional=Money("10.00000000", USDT),
max_price=Price("1000000.0"),
min_price=Price("0.01"),
margin_init=Decimal("1.00"),
margin_maint=Decimal("0.35"),
maker_fee=Decimal("0.0001"),
taker_fee=Decimal("0.0001"),
financing={},
timestamp=UNIX_EPOCH,
)
def ethusd_bitmex() -> Instrument:
"""
Return the BitMEX ETH/USD perpetual contract for backtesting.
Returns
-------
Instrument
"""
instrument_id = InstrumentId(
symbol=Symbol("ETH/USD"),
venue=Venue("BITMEX"),
)
return Instrument(
instrument_id=instrument_id,
asset_class=AssetClass.CRYPTO,
asset_type=AssetType.SWAP,
base_currency=ETH,
quote_currency=USD,
settlement_currency=BTC,
is_inverse=True,
price_precision=2,
size_precision=0,
tick_size=Decimal("0.05"),
multiplier=Decimal("1"),
lot_size=Quantity(1),
max_quantity=Quantity("10000000.0"),
min_quantity=Quantity("1.0"),
max_notional=None,
min_notional=None,
max_price=Price("1000000.00"),
min_price=Price("0.05"),
margin_init=Decimal("0.02"),
margin_maint=Decimal("0.007"),
maker_fee=Decimal("-0.00025"),
taker_fee=Decimal("0.00075"),
timestamp_ns=0,
)
def default_fx_ccy(symbol: str, venue: Venue = None) -> Instrument:
"""
Return a default FX currency pair instrument from the given instrument_id.
Parameters
----------
symbol : str
The currency pair symbol.
venue : Venue
The currency pair venue.
Returns
-------
Instrument
Raises
------
ValueError
If the instrument_id.instrument_id length is not in range [6, 7].
"""
if venue is None:
venue = Venue("SIM")
PyCondition.valid_string(symbol, "symbol")
PyCondition.in_range_int(len(symbol), 6, 7, "len(symbol)")
instrument_id = InstrumentId(
symbol=Symbol(symbol),
venue=venue,
)
base_currency = symbol[:3]
quote_currency = symbol[-3:]
# Check tick precision of quote currency
if quote_currency == "JPY":
price_precision = 3
else:
price_precision = 5
return Instrument(
instrument_id=instrument_id,
asset_class=AssetClass.FX,
asset_type=AssetType.SPOT,
base_currency=Currency.from_str(base_currency),
quote_currency=Currency.from_str(quote_currency),
settlement_currency=Currency.from_str(quote_currency),
is_inverse=False,
price_precision=price_precision,
size_precision=0,
tick_size=Decimal(
f"{1 / 10 ** price_precision:.{price_precision}f}"),
multiplier=Decimal("1"),
lot_size=Quantity("1000"),
max_quantity=Quantity("1e7"),
min_quantity=Quantity("1000"),
max_price=None,
min_price=None,
max_notional=Money(50000000.00, USD),
min_notional=Money(1000.00, USD),
margin_init=Decimal("0.03"),
margin_maint=Decimal("0.03"),
maker_fee=Decimal("0.00002"),
taker_fee=Decimal("0.00002"),
financing={},
timestamp_ns=0,
)