fix tardis support

nautilus_trader/backtest/loaders.pxd

@@ -20,3 +20,11 @@ cdef class CSVTickDataLoader:
 
 cdef class CSVBarDataLoader:
     pass
+
+
+cdef class TardisTradeDataLoader:
+    pass
+
+
+cdef class TardisQuoteDataLoader:
+    pass

nautilus_trader/backtest/loaders.pyx

@@ -16,6 +16,11 @@
 import pandas as pd
 
 from nautilus_trader.core.correctness cimport Condition
+from cpython.datetime cimport datetime
+
+
+cdef datetime _ts_parser(str time_in_secs):
+    return datetime.utcfromtimestamp(int(time_in_secs) / 1_000_000.0)
 
 
 cdef class CSVTickDataLoader:
@@ -74,3 +79,60 @@ cdef class CSVBarDataLoader:
             index_col="timestamp",
             parse_dates=True,
         )
+
+
+cdef class TardisTradeDataLoader:
+    """
+    Provides a means of loading trade data pandas DataFrames from Tardis CSV files.
+    """
+
+    @staticmethod
+    def load(str file_path) -> pd.DataFrame:
+        """
+        Return the trade pandas.DataFrame loaded from the given csv file.
+
+        Parameters
+        ----------
+        file_path : str
+            The absolute path to the CSV file.
+
+        Returns
+        -------
+        pd.DataFrame
+
+        """
+        Condition.not_none(file_path, "file_path")
+
+        df = pd.read_csv(file_path, index_col='local_timestamp', date_parser=_ts_parser, parse_dates=True)
+        df.rename(columns={'id': 'trade_id', 'amount': 'quantity'}, inplace=True)
+        df['side'] = df.side.str.upper()
+        df = df[['symbol', 'trade_id', 'price', 'quantity', 'side']]
+        return df
+
+
+cdef class TardisQuoteDataLoader:
+    """
+    Provides a means of loading quote data pandas DataFrames from Tardis CSV files.
+    """
+
+    @staticmethod
+    def load(str file_path) -> pd.DataFrame:
+        """
+        Return the quote pandas.DataFrame loaded from the given csv file.
+
+        Parameters
+        ----------
+        file_path : str
+            The absolute path to the CSV file.
+
+        Returns
+        -------
+        pd.DataFrame
+
+        """
+        Condition.not_none(file_path, "file_path")
+        df = pd.read_csv(file_path, index_col='local_timestamp', date_parser=_ts_parser, parse_dates=True)
+        df.rename(columns={'ask_amount': 'ask_size', 'ask_price': 'ask', 'bid_price': 'bid', 'bid_amount': 'bid_size'},
+                 inplace=True)
+        df = df[['symbol','ask_size','ask','bid_size','bid']]
+        return df

nautilus_trader/data/wrangling.pyx

@@ -300,12 +300,18 @@ cdef class TradeTickDataWrangler:
         processed_trades = pd.DataFrame(index=self._data_trades.index)
         processed_trades["price"] = self._data_trades["price"].apply(lambda x: f'{x:.{self.instrument.price_precision}f}')
         processed_trades["quantity"] = self._data_trades["quantity"].apply(lambda x: f'{x:.{self.instrument.size_precision}f}')
-        processed_trades["side"] = self._data_trades["buyer_maker"].apply(lambda x: "SELL" if x is True else "BUY")
+        processed_trades["side"] = self._create_side_if_not_exist()
         processed_trades["match_id"] = self._data_trades["trade_id"].apply(str)
         processed_trades["symbol"] = symbol_indexer
-
         self.processed_data = processed_trades
 
+
+    def _create_side_if_not_exist(self):
+        if 'side' in self._data_trades.columns:
+            return self._data_trades["side"]
+        else:
+            return self._data_trades["buyer_maker"].apply(lambda x: "SELL" if x is True else "BUY")
+
     cpdef list build_ticks(self):
         """
         Build ticks from all data.