Add EMACrossLongOnly SPY.XNAS trades example

Author: cjdsellers

examples/backtest/databento_ema_cross_long_only_spy_trades.py

@@ -0,0 +1,119 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+import time
+from decimal import Decimal
+
+import pandas as pd
+
+from nautilus_trader.adapters.databento.loaders import DatabentoDataLoader
+from nautilus_trader.backtest.engine import BacktestEngine
+from nautilus_trader.backtest.engine import BacktestEngineConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnly
+from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnlyConfig
+from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.data import BarType
+from nautilus_trader.model.enums import AccountType
+from nautilus_trader.model.enums import OmsType
+from nautilus_trader.model.identifiers import TraderId
+from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.objects import Money
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
+from tests import TEST_DATA_DIR
+
+
+if __name__ == "__main__":
+    # Configure backtest engine
+    config = BacktestEngineConfig(
+        trader_id=TraderId("BACKTESTER-001"),
+        logging=LoggingConfig(
+            log_level="INFO",
+            log_colors=True,
+        ),
+    )
+
+    # Build the backtest engine
+    engine = BacktestEngine(config=config)
+
+    # Add a trading venue (multiple venues possible)
+    NASDAQ = Venue("XNAS")
+    engine.add_venue(
+        venue=NASDAQ,
+        oms_type=OmsType.NETTING,
+        account_type=AccountType.CASH,
+        base_currency=USD,
+        starting_balances=[Money(1_000_000.0, USD)],
+    )
+
+    # Add instruments
+    SPY_XNAS = TestInstrumentProvider.equity(symbol="SPY", venue="XNAS")
+    engine.add_instrument(SPY_XNAS)
+
+    # Add data
+    loader = DatabentoDataLoader()
+
+    filenames = [
+        "spy-xnas-trades-2024-01.dbn.zst",
+        "spy-xnas-trades-2024-02.dbn.zst",
+        "spy-xnas-trades-2024-03.dbn.zst",
+    ]
+
+    for filename in filenames:
+        trades = loader.from_dbn_file(
+            path=TEST_DATA_DIR / "databento" / "temp" / filename,
+            instrument_id=SPY_XNAS.id,
+        )
+        engine.add_data(trades)
+
+    # Configure your strategy
+    config = EMACrossLongOnlyConfig(
+        instrument_id=SPY_XNAS.id,
+        bar_type=BarType.from_str(f"{SPY_XNAS.id}-1000-TICK-LAST-INTERNAL"),
+        trade_size=Decimal(100),
+        fast_ema_period=10,
+        slow_ema_period=20,
+        request_historical_bars=False,  # Using internally aggregated tick bars
+    )
+
+    # Instantiate and add your strategy
+    strategy = EMACrossLongOnly(config=config)
+    engine.add_strategy(strategy=strategy)
+
+    time.sleep(0.1)
+    input("Press Enter to continue...")
+
+    # Run the engine (from start to end of data)
+    engine.run()
+
+    # Optionally view reports
+    with pd.option_context(
+        "display.max_rows",
+        100,
+        "display.max_columns",
+        None,
+        "display.width",
+        300,
+    ):
+        print(engine.trader.generate_account_report(NASDAQ))
+        print(engine.trader.generate_order_fills_report())
+        print(engine.trader.generate_positions_report())
+
+    # For repeated backtest runs make sure to reset the engine
+    engine.reset()
+
+    # Good practice to dispose of the object
+    engine.dispose()

examples/backtest/databento_ema_cross_long_only_tsla_trades.py

@@ -82,7 +82,7 @@
     # Configure your strategy
     config = EMACrossLongOnlyConfig(
         instrument_id=TSLA_NYSE.id,
-        bar_type=BarType.from_str("TSLA.NYSE-1-MINUTE-LAST-INTERNAL"),
+        bar_type=BarType.from_str(f"{TSLA_NYSE.id}-1-MINUTE-LAST-INTERNAL"),
         trade_size=Decimal(500),
         fast_ema_period=10,
         slow_ema_period=20,

nautilus_trader/examples/strategies/ema_cross_long_only.py

@@ -58,6 +58,8 @@ class EMACrossLongOnlyConfig(StrategyConfig, frozen=True):
         The fast EMA period.
     slow_ema_period : int, default 20
         The slow EMA period.
+    request_historical_bars : bool, default True
+        If historical bars should be requested on start.
     close_positions_on_stop : bool, default True
         If all open positions should be closed on strategy stop.
     order_id_tag : str
@@ -74,6 +76,7 @@ class EMACrossLongOnlyConfig(StrategyConfig, frozen=True):
     trade_size: Decimal
     fast_ema_period: PositiveInt = 10
     slow_ema_period: PositiveInt = 20
+    request_historical_bars: bool = True
     close_positions_on_stop: bool = True
 
 
@@ -114,6 +117,7 @@ def __init__(self, config: EMACrossLongOnlyConfig) -> None:
         self.fast_ema = ExponentialMovingAverage(config.fast_ema_period)
         self.slow_ema = ExponentialMovingAverage(config.slow_ema_period)
 
+        self.request_historical_bars = config.request_historical_bars
         self.close_positions_on_stop = config.close_positions_on_stop
         self.instrument: Instrument = None
 
@@ -132,7 +136,8 @@ def on_start(self) -> None:
         self.register_indicator_for_bars(self.bar_type, self.slow_ema)
 
         # Get historical data
-        self.request_bars(self.bar_type, start=self._clock.utc_now() - pd.Timedelta(days=1))
+        if self.request_historical_bars:
+            self.request_bars(self.bar_type, start=self._clock.utc_now() - pd.Timedelta(days=1))
         # self.request_quote_ticks(self.instrument_id)
         # self.request_trade_ticks(self.instrument_id)