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@gbeced
gbeced committed Apr 22, 2024
2 parents 003130d + 647ce15 commit 919f258
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7 changes: 5 additions & 2 deletions CHANGELOG.md
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@@ -1,8 +1,11 @@
# Changelog

##
## TBD

* Bug fix. Parse BOM when opening CSV files and set the encoding appropriately.
### Bug fixes

* [Parse BOM when opening CSV files and set the encoding appropriately](https://github.com/gbeced/basana/issues/36)
* [Stop subtracting microseconds in RowParser](https://github.com/gbeced/basana/issues/37)

## 1.5.0

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2 changes: 1 addition & 1 deletion basana/external/binance/csv/bars.py
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Expand Up @@ -23,7 +23,7 @@


period_to_timedelta = {
period_str: datetime.timedelta(seconds=period_secs, microseconds=-1)
period_str: datetime.timedelta(seconds=period_secs)
for period_str, period_secs in period_to_step.items()
}

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2 changes: 1 addition & 1 deletion basana/external/bitstamp/csv/bars.py
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Expand Up @@ -25,7 +25,7 @@


period_to_timedelta = {
period_str: datetime.timedelta(seconds=period_secs, microseconds=-1)
period_str: datetime.timedelta(seconds=period_secs)
for period_str, period_secs in period_to_step.items()
}

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4 changes: 2 additions & 2 deletions basana/external/yahoo/bars.py
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Expand Up @@ -61,7 +61,7 @@ def sanitize_ohlc(open: Decimal, high: Decimal, low: Decimal, close: Decimal) ->
class RowParser(csv.RowParser):
def __init__(
self, pair: pair.Pair, adjust_ohlc: bool = False, tzinfo: datetime.tzinfo = tz.tzlocal(),
timedelta: datetime.timedelta = datetime.timedelta(hours=24, microseconds=-1)
timedelta: datetime.timedelta = datetime.timedelta(hours=24)
):
self.pair = pair
self.tzinfo = tzinfo
Expand Down Expand Up @@ -91,7 +91,7 @@ class CSVBarSource(csv.EventSource):
def __init__(
self, pair: pair.Pair, csv_path: str, adjust_ohlc: bool = False, sort: bool = True,
tzinfo: datetime.tzinfo = tz.tzlocal(),
timedelta: datetime.timedelta = datetime.timedelta(hours=24, microseconds=-1),
timedelta: datetime.timedelta = datetime.timedelta(hours=24),
dict_reader_kwargs: dict = {}
):
self.row_parser = RowParser(pair, adjust_ohlc=adjust_ohlc, tzinfo=tzinfo, timedelta=timedelta)
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2 changes: 1 addition & 1 deletion tests/test_backtesting_charts.py
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Expand Up @@ -29,7 +29,7 @@

@pytest.mark.parametrize("order_plan", [
{
datetime.date(2000, 1, 3): [
datetime.date(2000, 1, 4): [
# Buy market.
lambda e: e.create_market_order(exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("2")),
],
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163 changes: 120 additions & 43 deletions tests/test_backtesting_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -23,7 +23,7 @@
from dateutil import tz
import pytest

from .helpers import abs_data_path, safe_round
from .helpers import abs_data_path
from basana.backtesting import exchange, fees, orders, requests
from basana.core import bar, dt, event, helpers
from basana.core.pair import Pair, PairInfo
Expand Down Expand Up @@ -197,9 +197,7 @@ async def impl():
diff = (backtesting_dispatcher.now() - dt.utc_now())
assert abs(diff.total_seconds()) > 60

assert bar_events[0].when == datetime.datetime(
2001, 1, 2, hour=23, minute=59, second=59, microsecond=999999, tzinfo=tz.tzlocal()
)
assert bar_events[0].when == datetime.datetime(2001, 1, 3, tzinfo=tz.tzlocal())
assert bar_events[0].bar.open == Decimal("29.56")
assert bar_events[0].bar.high == Decimal("29.75")
assert bar_events[0].bar.low == Decimal("25.62")
Expand All @@ -213,73 +211,103 @@ async def impl():
buff.seek(0)
output = buff.read()

assert "2001-01-02 23:59:59,999 INFO" in output
assert "2001-12-31 23:59:59,999 INFO" in output
assert "2001-01-03 00:00:00,000 INFO" in output
assert "2002-01-01 00:00:00,000 INFO" in output


@pytest.mark.parametrize("order_plan", [
{
datetime.date(2000, 1, 3): [
datetime.date(2000, 1, 4): [
# Stop order canceled due to insufficient funds. Need to tweak the amount and stop price to get the order
# accepted, but to fail as soon as it gets processed.
(
lambda e: e.create_stop_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("1e6"), Decimal("0.01")
),
False, None, Decimal(0)
[]
),
],
},
{
datetime.date(2000, 1, 7): [
datetime.date(2000, 1, 8): [
# Market order canceled due to insufficient funds. Need to tweak the amount to get the order accepted, but
# to fail as soon as it gets processed.
(
lambda e: e.create_market_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("9649")
),
False, None, Decimal(0)
[]
),
],
},
{
datetime.date(2000, 1, 3): [
datetime.date(2000, 1, 4): [
# Buy market.
(
lambda e: e.create_market_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("2")
),
False, Decimal("115.50"), Decimal("0.58")
[
orders.Fill(
when=datetime.datetime(2000, 1, 5, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("2"), "USD": Decimal("-231.00")},
fees={"USD": Decimal("-0.58")},
),
]
),
# Limit order within bar.
(
lambda e: e.create_limit_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("4"), Decimal("110.01")
),
False, Decimal("110.01"), Decimal("1.11")
[
orders.Fill(
when=datetime.datetime(2000, 1, 5, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("4"), "USD": Decimal("-440.04")},
fees={"USD": Decimal("-1.11")},
),
]
),
],
datetime.date(2000, 1, 14): [
datetime.date(2000, 1, 15): [
# Sell market.
(
lambda e: e.create_market_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1")
),
False, Decimal("107.87"), Decimal("0.27")
[
orders.Fill(
when=datetime.datetime(2000, 1, 19, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("107.87")},
fees={"USD": Decimal("-0.27")},
),
]
),
# Limit order within bar.
(
lambda e: e.create_limit_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1"), Decimal("108")
),
False, Decimal("108"), Decimal("0.27")
[
orders.Fill(
when=datetime.datetime(2000, 1, 19, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("108.00")},
fees={"USD": Decimal("-0.27")},
),
]
),
# Sell stop.
(
lambda e: e.create_stop_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1"), Decimal("108")
),
False, Decimal("107.87"), Decimal("0.27")
[
orders.Fill(
when=datetime.datetime(2000, 1, 19, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("107.87")},
fees={"USD": Decimal("-0.27")},
),
]
),
],
datetime.date(2000, 1, 19): [
Expand All @@ -289,74 +317,124 @@ async def impl():
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("5"), Decimal("59.5"),
Decimal("58.03")
),
False, Decimal("58.03"), Decimal("0.73")
[
orders.Fill(
when=datetime.datetime(2000, 1, 25, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("5"), "USD": Decimal("-290.15")},
fees={"USD": Decimal("-0.73")},
),
]
),
],
datetime.date(2000, 3, 9): [
datetime.date(2000, 3, 10): [
# Stop price should be hit on 2000-03-10 and order should be filled on 2000-03-13 at open price.
(
lambda e: e.create_stop_limit_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("10"), Decimal("81.62"),
Decimal("80.24")
),
False, Decimal("78.50"), Decimal("1.97")
[
orders.Fill(
when=datetime.datetime(2000, 3, 14, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("10"), "USD": Decimal("-785.00")},
fees={"USD": Decimal("-1.97")},
),
]
),
# Stop price should be hit on 2000-03-10 and order should be filled on 2000-03-10.
(
lambda e: e.create_stop_limit_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("9"), Decimal("81.62"),
Decimal("81")
),
False, Decimal("81"), Decimal("1.83")
[
orders.Fill(
when=datetime.datetime(2000, 3, 11, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("9"), "USD": Decimal("-729.00")},
fees={"USD": Decimal("-1.83")},
),
]
),
],
datetime.date(2000, 3, 10): [
# Stop price should be hit on 2000-03-13 and order should be filled on 2000-03-13.
(
lambda e: e.create_stop_limit_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1"), Decimal("79"),
Decimal("78.75")
),
False, Decimal("78.75"), Decimal("0.2")
[
orders.Fill(
when=datetime.datetime(2000, 3, 14, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("78.75")},
fees={"USD": Decimal("-0.20")},
),
]
),
# Stop price should be hit on 2000-03-13 and order should be filled on 2000-03-14.
(
lambda e: e.create_stop_limit_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1"), Decimal("79"),
Decimal("83.65")
),
False, Decimal("83.65"), Decimal("0.21")
[
orders.Fill(
when=datetime.datetime(2000, 3, 15, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("83.65")},
fees={"USD": Decimal("-0.21")},
),
]
),
# Stop price should be hit on 2000-03-13 and order should be filled on 2000-03-15 at open.
(
lambda e: e.create_stop_limit_order(
exchange.OrderOperation.SELL, Pair("ORCL", "USD"), Decimal("1"), Decimal("79"),
Decimal("83.80")
),
False, Decimal("84"), Decimal("0.21")
[
orders.Fill(
when=datetime.datetime(2000, 3, 16, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("-1"), "USD": Decimal("84.00")},
fees={"USD": Decimal("-0.21")},
),
]
),
],
},
{
datetime.date(2001, 1, 2): [
datetime.date(2001, 1, 3): [
# Limit order is filled in multiple bars.
(
lambda e: e.create_limit_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("50"), Decimal("10")
),
False, Decimal("5.5"), Decimal("0.69")
[
orders.Fill(
when=datetime.datetime(2001, 1, 4, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("25"), "USD": Decimal("-137.50")},
fees={"USD": Decimal("-0.35")},
),
orders.Fill(
when=datetime.datetime(2001, 1, 5, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("25"), "USD": Decimal("-137.50")},
fees={"USD": Decimal("-0.34")},
),
]
),
],
},
{
datetime.date(2000, 1, 3): [
datetime.date(2000, 1, 4): [
# Regression test.
(
lambda e: e.create_limit_order(
exchange.OrderOperation.BUY, Pair("ORCL", "USD"), Decimal("8600"), Decimal("115.50")
),
False, Decimal("115.50"), Decimal("2483.25")
[
orders.Fill(
when=datetime.datetime(2000, 1, 5, tzinfo=tz.tzlocal()),
balance_updates={"ORCL": Decimal("8600"), "USD": Decimal("-993300.00")},
fees={"USD": Decimal("-2483.25")},
),
]
),
],
},
Expand All @@ -375,13 +453,11 @@ async def on_bar(bar_event):
nonlocal expected

order_requests = order_plan.get(bar_event.when.date(), [])
for create_order_fun, expected_open, expected_fill_price, expected_fee in order_requests:
for create_order_fun, expected_fills in order_requests:
created_order = await create_order_fun(e)
assert created_order is not None
expected[created_order.id] = {
"is_open": expected_open,
"fill_price": expected_fill_price,
"fee": expected_fee,
"fills": expected_fills,
}

async def impl():
Expand All @@ -392,25 +468,25 @@ async def impl():
# These are for testing scenarios where fills take place in multiple bars.
src = event.FifoQueueEventSource(events=[
bar.BarEvent(
dt.local_datetime(2001, 1, 2, 23, 59, 59),
dt.local_datetime(2001, 1, 3),
bar.Bar(
dt.local_datetime(2001, 1, 2), p, Decimal(5), Decimal(10), Decimal(1), Decimal(5), Decimal("100")
)
),
bar.BarEvent(
dt.local_datetime(2001, 1, 3, 23, 59, 59),
dt.local_datetime(2001, 1, 4),
bar.Bar(
dt.local_datetime(2001, 1, 3), p, Decimal(5), Decimal(10), Decimal(1), Decimal(5), Decimal("100")
)
),
bar.BarEvent(
dt.local_datetime(2001, 1, 4, 23, 59, 59),
dt.local_datetime(2001, 1, 5),
bar.Bar(
dt.local_datetime(2001, 1, 4), p, Decimal(5), Decimal(10), Decimal(1), Decimal(5), Decimal("100")
)
),
bar.BarEvent(
dt.local_datetime(2001, 1, 5, 23, 59, 59),
dt.local_datetime(2001, 1, 6),
bar.Bar(
dt.local_datetime(2001, 1, 5), p, Decimal(5), Decimal(10), Decimal(1), Decimal(5), Decimal("100")
)
Expand All @@ -425,10 +501,11 @@ async def impl():
for order_id, expected_attrs in expected.items():
order_info = await e.get_order_info(order_id)
assert order_info is not None
assert order_info.is_open == expected_attrs["is_open"], order_info
assert safe_round(order_info.fill_price, 2) == expected_attrs["fill_price"], order_info
expected_fees = {"USD": expected_attrs["fee"]} if expected_attrs["fee"] else {}
assert order_info.fees == expected_fees, order_info
assert not order_info.is_open, order_info
exchange_order = e._orders.get_order(order_id)
assert exchange_order is not None
assert exchange_order.fills == expected_attrs["fills"]
assert len(expected) == sum([len(orders) for orders in order_plan.values()])

# All orders are expected to be in a final state, so there should be no holds in place.
assert sum(e._balances._holds_by_symbol.values()) == 0
Expand Down
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