research/pairs_trading
2
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

progress

Browse Source
This commit is contained in:
Oleg Sheynin 2025-05-29 00:28:15 -04:00
parent 3f4d174eb3
commit 0ceb2f2eba
4 changed files with 620 additions and 427 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

570
src/pt_backtest.py
View File

@ -1,8 +1,6 @@
import datetime
import sys import sys
import json
from typing import Any, Dict, List, Tuple, Optional from typing import Any, Dict, List, Optional
import pandas as pd import pandas as pd
import numpy as np import numpy as np
@ -10,6 +8,10 @@ import numpy as np
# ============= statsmodels =================== # ============= statsmodels ===================
from statsmodels.tsa.vector_ar.vecm import VECM from statsmodels.tsa.vector_ar.vecm import VECM
from tools.data_loader import get_datasets, load_market_data, transform_dataframe
from tools.trading_pair import TradingPair
from results import BacktestResult
NanoPerMin = 1e9 NanoPerMin = 1e9
UNSET_FLOAT: float = sys.float_info.max UNSET_FLOAT: float = sys.float_info.max
UNSET_INT: int = sys.maxsize UNSET_INT: int = sys.maxsize
@ -17,43 +19,43 @@ UNSET_INT: int = sys.maxsize
# ------------------------ Configuration ------------------------ # ------------------------ Configuration ------------------------
# Default configuration # Default configuration
CRYPTO_CONFIG: Dict = { CRYPTO_CONFIG: Dict = {
"security_type": "CRYPTO",
# --- Data retrieval # --- Data retrieval
"data_directory": "./data/crypto", "data_directory": "./data/crypto",
"datafiles": [ "datafiles": [
"20250519.mktdata.ohlcv.db", "20250519.mktdata.ohlcv.db",
# "20250519.mktdata.ohlcv.db",
], ],
"db_table_name": "bnbspot_ohlcv_1min", "db_table_name": "bnbspot_ohlcv_1min",
# ----- Instruments # ----- Instruments
"exchange_id": "BNBSPOT", "exchange_id": "BNBSPOT",
"instrument_id_pfx": "PAIR-", "instrument_id_pfx": "PAIR-",
"instruments": [ "instruments": [
"BTC-USDT", "BTC-USDT",
"ETH-USDT", # "ETH-USDT",
"LTC-USDT", "LTC-USDT",
], ],
"trading_hours": { "trading_hours": {
"begin_session": "00:00:00", "begin_session": "00:00:00",
"end_session": "23:59:00", "end_session": "23:59:00",
"timezone": "UTC" "timezone": "UTC",
}, },
# ----- Model Settings # ----- Model Settings
"price_column": "close", "price_column": "close",
"min_required_points": 30, "min_required_points": 30,
"zero_threshold": 1e-10, "zero_threshold": 1e-10,
"equilibrium_threshold_open": 5.0,
"equilibrium_threshold_close": 1.0,
"training_minutes": 120,
"disequilibrium_open_trshld": 2,
"disequilibrium_close_trshld": 0.5,
"training_minutes": 120,
# ----- Validation # ----- Validation
"funding_per_pair": 2000.0, # USD "funding_per_pair": 2000.0, # USD
} }
# ========================== EQUITIES # ========================== EQUITIES
EQT_CONFIG: Dict = { EQT_CONFIG: Dict = {
# --- Data retrieval # --- Data retrieval
"security_type": "EQUITY",
"data_directory": "./data/equity", "data_directory": "./data/equity",
"datafiles": [ "datafiles": [
"20250508.alpaca_sim_md.db", "20250508.alpaca_sim_md.db",
@ -67,11 +69,9 @@ EQT_CONFIG: Dict = {
# "20250520.alpaca_sim_md.db" # "20250520.alpaca_sim_md.db"
], ],
"db_table_name": "md_1min_bars", "db_table_name": "md_1min_bars",
# ----- Instruments
# ----- Instruments "exchange_id": "ALPACA",
"exchange_id": "ALPACA",
"instrument_id_pfx": "STOCK-", "instrument_id_pfx": "STOCK-",
"instruments": [ "instruments": [
"COIN", "COIN",
"GBTC", "GBTC",
@ -79,149 +79,35 @@ EQT_CONFIG: Dict = {
"MSTR", "MSTR",
"PYPL", "PYPL",
], ],
"trading_hours": { "trading_hours": {
"begin_session": "9:30:00", "begin_session": "9:30:00",
"end_session": "16:00:00", "end_session": "16:00:00",
"timezone": "America/New_York" "timezone": "America/New_York",
}, },
# ----- Model Settings # ----- Model Settings
"price_column": "close", "price_column": "close",
"min_required_points": 30, "min_required_points": 30,
"zero_threshold": 1e-10, "zero_threshold": 1e-10,
"equilibrium_threshold_open": 5.0, "disequilibrium_open_trshld": 5.0,
"equilibrium_threshold_close": 1.0, "disequilibrium_close_trshld": 1.0,
"training_minutes": 120, "training_minutes": 120,
# ----- Validation # ----- Validation
"funding_per_pair": 2000.0, "funding_per_pair": 2000.0,
} }
# ========================================================================== # ==========================================================================
# CONFIG = CRYPTO_CONFIG
CONFIG = EQT_CONFIG CONFIG = EQT_CONFIG
TRADES = {}
TOTAL_UNREALIZED_PNL = 0.0 # Global variable to track total unrealized PnL
TOTAL_REALIZED_PNL = 0.0 # Global variable to track total realized PnL
OUTSTANDING_POSITIONS = [] # Global list to track outstanding positions with share quantities
class TradingPair: BacktestResults = BacktestResult(config=CONFIG)
symbol_a_: str
symbol_b_: str
price_column_: str
def __init__(self, symbol_a: str, symbol_b: str, price_column: str):
self.symbol_a_ = symbol_a
self.symbol_b_ = symbol_b
self.price_column_ = price_column
def colnames(self) -> List[str]:
return [f"{self.price_column_}_{self.symbol_a_}", f"{self.price_column_}_{self.symbol_b_}"]
def __repr__(self) ->str:
return f"{self.symbol_a_} & {self.symbol_b_}"
def convert_time_to_UTC(value: str, timezone: str):
from zoneinfo import ZoneInfo
from datetime import datetime
# Parse it to naive datetime object
local_dt = datetime.strptime(value, '%Y-%m-%d %H:%M:%S')
zinfo = ZoneInfo(timezone)
result = local_dt.replace(tzinfo=zinfo)
result = result.astimezone(ZoneInfo('UTC'))
result = result.strftime('%Y-%m-%d %H:%M:%S')
return result
pass
def load_market_data(datafile: str, config: Dict) -> pd.DataFrame:
from tools.data_loader import load_sqlite_to_dataframe
instrument_ids = ["\"" + config["instrument_id_pfx"] + instrument + "\"" for instrument in config["instruments"]]
exchange_id = config["exchange_id"]
query = "select tstamp"
query += ", tstamp_ns as time_ns"
query += ", substr(instrument_id, 7) as symbol"
query += ", open"
query += ", high"
query += ", low"
query += ", close"
query += ", volume"
query += ", num_trades"
query += ", vwap"
query += f" from {config['db_table_name']}"
query += f" where exchange_id ='{exchange_id}'"
query += f" and instrument_id in ({','.join(instrument_ids)})"
df = load_sqlite_to_dataframe(db_path=datafile, query=query)
# Trading Hours
date_str = df["tstamp"][0][0:10]
trading_hours = CONFIG['trading_hours']
start_time = f"{date_str} {trading_hours['begin_session']}"
end_time = f"{date_str} {trading_hours['end_session']}"
start_time = convert_time_to_UTC(start_time, trading_hours["timezone"])
end_time = convert_time_to_UTC(end_time, trading_hours["timezone"])
# Perform boolean selection
df = df[(df["tstamp"] >= start_time) & (df["tstamp"] <= end_time)]
df["tstamp"] = pd.to_datetime(df["tstamp"])
return df
def transform_dataframe(df: pd.DataFrame, price_column: str):
# Select only the columns we need
df_selected = df[["tstamp", "symbol", price_column]]
# Start with unique timestamps
result_df: pd.DataFrame = pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
# For each unique symbol, add a corresponding close price column
for symbol in df_selected["symbol"].unique():
# Filter rows for this symbol
df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(drop=True)
# Create column name like "close-COIN"
new_price_column = f"{price_column}_{symbol}"
# Create temporary dataframe with timestamp and price
temp_df = pd.DataFrame({
"tstamp": df_symbol["tstamp"],
new_price_column: df_symbol[price_column]
})
# Join with our result dataframe
result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
result_df = result_df.reset_index(drop=True) # do not dropna() since irrelevant symbol would affect dataset
return result_df
def get_datasets(df: pd.DataFrame, training_minutes: int, pair: TradingPair) -> Tuple[pd.DataFrame, pd.DataFrame]:
# Training dataset
colname_a, colname_b = pair.colnames()
df = df[["tstamp", colname_a, colname_b]]
df = df.dropna()
training_df = df.iloc[:training_minutes - 1, :].copy()
training_df.reset_index(drop=True).dropna().reset_index(drop=True)
# Testing dataset
testing_df = df.iloc[training_minutes:, :].copy()
testing_df.reset_index(drop=True).dropna().reset_index(drop=True)
return (training_df, testing_df)
def fit_VECM(training_pair_df, pair: TradingPair): def fit_VECM(training_pair_df, pair: TradingPair):
vecm_model = VECM(training_pair_df[pair.colnames()].reset_index(drop=True), coint_rank=1) vecm_model = VECM(
training_pair_df[pair.colnames()].reset_index(drop=True), coint_rank=1
)
vecm_fit = vecm_model.fit() vecm_fit = vecm_model.fit()
# Check if the model converged properly # Check if the model converged properly
@ -230,13 +116,18 @@ def fit_VECM(training_pair_df, pair: TradingPair):
return vecm_fit return vecm_fit
def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.DataFrame:
def create_trading_signals(
vecm_fit, testing_pair_df, pair: TradingPair
) -> pd.DataFrame:
result_columns = [ result_columns = [
"time", "time",
"action", "action",
"symbol", "symbol",
"price", "price",
"equilibrium", "disequilibrium",
"scaled_disequilibrium",
"pair", "pair",
] ]
@ -248,22 +139,23 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
beta = vecm_fit.beta beta = vecm_fit.beta
predicted_df["equilibrium_term"] = (
beta[0] * predicted_df[colname_a]
+ beta[1] * predicted_df[colname_b]
)
pair_result_df = pd.merge( pair_result_df = pd.merge(
testing_pair_df.reset_index(drop=True), predicted_df, left_index=True, right_index=True, suffixes=('', '_pred') testing_pair_df.reset_index(drop=True),
predicted_df,
left_index=True,
right_index=True,
suffixes=("", "_pred"),
).dropna() ).dropna()
pair_result_df["equilibrium"] = ( pair_result_df["disequilibrium"] = pair_result_df[pair.colnames()] @ beta
beta[0] * pair_result_df[colname_a]
+ beta[1] * pair_result_df[colname_b] pair_mu = pair.disequilibrium_mu_
) pair_std = pair.disequilibrium_std_
pair_result_df["scaled_disequilibrium"] = abs(
pair_result_df["disequilibrium"] - pair_mu
) / pair_std
pair_result_df["abs_equilibrium"] = np.abs(pair_result_df["equilibrium"])
pair_result_df["scaled_equilibrium"] = pair_result_df["abs_equilibrium"] / (abs(beta[0]) * pair_result_df[colname_a] + abs(beta[1]) * pair_result_df[colname_b])
# Reset index to ensure proper indexing # Reset index to ensure proper indexing
pair_result_df = pair_result_df.reset_index() pair_result_df = pair_result_df.reset_index()
@ -272,26 +164,24 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_row_index = None open_row_index = None
initial_abs_term = None initial_abs_term = None
open_threshold = CONFIG["disequilibrium_open_trshld"]
close_threshold = CONFIG["disequilibrium_close_trshld"]
for row_idx in range(len(pair_result_df)): for row_idx in range(len(pair_result_df)):
current_abs_term = pair_result_df["abs_equilibrium"][row_idx] curr_disequilibrium = pair_result_df["scaled_disequilibrium"][row_idx]
# Check if current row has sufficient equilibrium (not near-zero) # Check if current row has sufficient disequilibrium (not near-zero)
if current_abs_term >= CONFIG["equilibrium_threshold_open"]: if curr_disequilibrium >= open_threshold:
open_row_index = row_idx open_row_index = row_idx
initial_abs_term = current_abs_term initial_abs_term = curr_disequilibrium
break break
# If no row with sufficient equilibrium found, skip this pair # If no row with sufficient disequilibrium found, skip this pair
if open_row_index is None: if open_row_index is None:
print(f"{pair}: Insufficient divergence in testing dataset. Skipping.") print(f"{pair}: Insufficient disequilibrium in testing dataset. Skipping.")
return pd.DataFrame() return pd.DataFrame()
# Look for close signal starting from the open position # Look for close signal starting from the open position
trading_signals_df = ( trading_signals_df = (pair_result_df["scaled_disequilibrium"][open_row_index:] < close_threshold)
pair_result_df["abs_equilibrium"][open_row_index:]
# < initial_abs_term / CONFIG["equilibrium_threshold_close"]
< CONFIG["equilibrium_threshold_close"]
)
# Adjust indices to account for the offset from open_row_index # Adjust indices to account for the offset from open_row_index
close_row_index = None close_row_index = None
@ -302,7 +192,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_row = pair_result_df.loc[open_row_index] open_row = pair_result_df.loc[open_row_index]
open_tstamp = open_row["tstamp"] open_tstamp = open_row["tstamp"]
open_eqlbrm = open_row["equilibrium"] open_disequilibrium = open_row["disequilibrium"]
open_scaled_disequilibrium = open_row["scaled_disequilibrium"]
open_px_a = open_row[f"{colname_a}"] open_px_a = open_row[f"{colname_a}"]
open_px_b = open_row[f"{colname_b}"] open_px_b = open_row[f"{colname_b}"]
@ -323,70 +214,23 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
# If no close signal found, print position and unrealized PnL # If no close signal found, print position and unrealized PnL
if close_row_index is None: if close_row_index is None:
global TOTAL_UNREALIZED_PNL, OUTSTANDING_POSITIONS
last_row_index = len(pair_result_df) - 1 last_row_index = len(pair_result_df) - 1
last_row = pair_result_df.loc[last_row_index]
last_tstamp = last_row["tstamp"]
last_px_a = last_row[f"{colname_a}"]
last_px_b = last_row[f"{colname_b}"]
# Calculate share quantities based on $1000 funding per pair # Use the new method from BacktestResult to handle outstanding positions
# Split $1000 equally between the two positions ($500 each) BacktestResults.handle_outstanding_position(
funding_per_position = CONFIG["funding_per_pair"] / 2 pair=pair,
shares_a = funding_per_position / open_px_a pair_result_df=pair_result_df,
shares_b = funding_per_position / open_px_b last_row_index=last_row_index,
open_side_a=open_side_a,
# Calculate unrealized PnL for each position open_side_b=open_side_b,
if open_side_a == "BUY": open_px_a=open_px_a,
unrealized_pnl_a = (last_px_a - open_px_a) / open_px_a * 100 open_px_b=open_px_b,
unrealized_dollar_a = shares_a * (last_px_a - open_px_a) open_tstamp=open_tstamp,
else: # SELL initial_abs_term=initial_abs_term,
unrealized_pnl_a = (open_px_a - last_px_a) / open_px_a * 100 colname_a=colname_a,
unrealized_dollar_a = shares_a * (open_px_a - last_px_a) colname_b=colname_b
)
if open_side_b == "BUY":
unrealized_pnl_b = (last_px_b - open_px_b) / open_px_b * 100
unrealized_dollar_b = shares_b * (last_px_b - open_px_b)
else: # SELL
unrealized_pnl_b = (open_px_b - last_px_b) / open_px_b * 100
unrealized_dollar_b = shares_b * (open_px_b - last_px_b)
total_unrealized_pnl = unrealized_pnl_a + unrealized_pnl_b
total_unrealized_dollar = unrealized_dollar_a + unrealized_dollar_b
# Add to global total
TOTAL_UNREALIZED_PNL += total_unrealized_pnl
# Store outstanding positions
OUTSTANDING_POSITIONS.append({
'pair': str(pair),
'symbol_a': pair.symbol_a_,
'symbol_b': pair.symbol_b_,
'side_a': open_side_a,
'side_b': open_side_b,
'shares_a': shares_a,
'shares_b': shares_b,
'open_px_a': open_px_a,
'open_px_b': open_px_b,
'current_px_a': last_px_a,
'current_px_b': last_px_b,
'unrealized_dollar_a': unrealized_dollar_a,
'unrealized_dollar_b': unrealized_dollar_b,
'total_unrealized_dollar': total_unrealized_dollar,
'open_time': open_tstamp,
'last_time': last_tstamp,
'initial_abs_term': initial_abs_term,
'current_abs_term': pair_result_df.loc[last_row_index, "abs_equilibrium"],
'closing_threshold': initial_abs_term / CONFIG["equilibrium_threshold_close"],
'equilibrium_ratio': pair_result_df.loc[last_row_index, "abs_equilibrium"] / (initial_abs_term / CONFIG["equilibrium_threshold_close"])
})
print(f"{pair}: NO CLOSE SIGNAL FOUND - Position held until end of session")
print(f" Open: {open_tstamp} | Last: {last_tstamp}")
print(f" {pair.symbol_a_}: {open_side_a} {shares_a:.2f} shares @ ${open_px_a:.2f} -> ${last_px_a:.2f} | Unrealized: ${unrealized_dollar_a:.2f} ({unrealized_pnl_a:.2f}%)")
print(f" {pair.symbol_b_}: {open_side_b} {shares_b:.2f} shares @ ${open_px_b:.2f} -> ${last_px_b:.2f} | Unrealized: ${unrealized_dollar_b:.2f} ({unrealized_pnl_b:.2f}%)")
print(f" Total Unrealized: ${total_unrealized_dollar:.2f} ({total_unrealized_pnl:.2f}%)")
# Return only open trades (no close trades) # Return only open trades (no close trades)
trd_signal_tuples = [ trd_signal_tuples = [
@ -395,7 +239,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_side_a, open_side_a,
pair.symbol_a_, pair.symbol_a_,
open_px_a, open_px_a,
open_eqlbrm, open_disequilibrium,
open_scaled_disequilibrium,
pair, pair,
), ),
( (
@ -403,7 +248,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_side_b, open_side_b,
pair.symbol_b_, pair.symbol_b_,
open_px_b, open_px_b,
open_eqlbrm, open_disequilibrium,
open_scaled_disequilibrium,
pair, pair,
), ),
] ]
@ -411,7 +257,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
# Close signal found - create complete trade # Close signal found - create complete trade
close_row = pair_result_df.loc[close_row_index] close_row = pair_result_df.loc[close_row_index]
close_tstamp = close_row["tstamp"] close_tstamp = close_row["tstamp"]
close_eqlbrm = close_row["equilibrium"] close_disequilibrium = close_row["disequilibrium"]
close_scaled_disequilibrium = close_row["scaled_disequilibrium"]
close_px_a = close_row[f"{colname_a}"] close_px_a = close_row[f"{colname_a}"]
close_px_b = close_row[f"{colname_b}"] close_px_b = close_row[f"{colname_b}"]
@ -423,7 +270,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_side_a, open_side_a,
pair.symbol_a_, pair.symbol_a_,
open_px_a, open_px_a,
open_eqlbrm, open_disequilibrium,
open_scaled_disequilibrium,
pair, pair,
), ),
( (
@ -431,7 +279,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
open_side_b, open_side_b,
pair.symbol_b_, pair.symbol_b_,
open_px_b, open_px_b,
open_eqlbrm, open_disequilibrium,
open_scaled_disequilibrium,
pair, pair,
), ),
( (
@ -439,7 +288,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
close_side_a, close_side_a,
pair.symbol_a_, pair.symbol_a_,
close_px_a, close_px_a,
close_eqlbrm, close_disequilibrium,
close_scaled_disequilibrium,
pair, pair,
), ),
( (
@ -447,7 +297,8 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
close_side_b, close_side_b,
pair.symbol_b_, pair.symbol_b_,
close_px_b, close_px_b,
close_eqlbrm, close_disequilibrium,
close_scaled_disequilibrium,
pair, pair,
), ),
] ]
@ -458,10 +309,13 @@ def create_trading_signals(vecm_fit, testing_pair_df, pair: TradingPair) -> pd.D
columns=result_columns, columns=result_columns,
) )
def run_single_pair(market_data: pd.DataFrame, price_column:str, pair: TradingPair) -> Optional[pd.DataFrame]:
colname_a = f"{price_column}_{pair.symbol_a_}" def run_single_pair(
colname_b = f"{price_column}_{pair.symbol_b_}" market_data: pd.DataFrame, price_column: str, pair: TradingPair
training_pair_df, testing_pair_df = get_datasets(df=market_data, training_minutes=CONFIG["training_minutes"], pair=pair) ) -> Optional[pd.DataFrame]:
training_pair_df, testing_pair_df = get_datasets(
df=market_data, training_minutes=CONFIG["training_minutes"], pair=pair
)
# Check if we have enough data points for a meaningful analysis # Check if we have enough data points for a meaningful analysis
min_required_points = CONFIG[ min_required_points = CONFIG[
@ -491,12 +345,21 @@ def run_single_pair(market_data: pd.DataFrame, price_column:str, pair: TradingPa
): # Small threshold to avoid division by very small numbers ): # Small threshold to avoid division by very small numbers
print(f"{pair}: Skipping due to near-zero beta[1] value: {vecm_fit.beta[1]}") print(f"{pair}: Skipping due to near-zero beta[1] value: {vecm_fit.beta[1]}")
return None return None
diseqlbrm_series = training_pair_df[pair.colnames()] @ vecm_fit.beta
diseqlbrm_series_mu: float = diseqlbrm_series.mean().iloc[0]
diseqlbrm_series_std: float = diseqlbrm_series.std().iloc[0]
pair.set_training_disequilibrium(diseqlbrm_series_mu, diseqlbrm_series_std)
# Normalize the disequilibrium
training_pair_df["scaled_disequilibrium"] = (
diseqlbrm_series - diseqlbrm_series_mu
) / diseqlbrm_series_std
try: try:
pair_trades = create_trading_signals( pair_trades = create_trading_signals(
vecm_fit=vecm_fit, vecm_fit=vecm_fit,
testing_pair_df=testing_pair_df, testing_pair_df=testing_pair_df,
pair=pair, pair=pair,
) )
except Exception as e: except Exception as e:
print(f"{pair}: Prediction failed: {str(e)}") print(f"{pair}: Prediction failed: {str(e)}")
@ -504,136 +367,35 @@ def run_single_pair(market_data: pd.DataFrame, price_column:str, pair: TradingPa
return pair_trades return pair_trades
def add_trade(pair_nm, symbol, action, price):
pair_nm = str(pair_nm)
def run_pairs(config: Dict, market_data_df: pd.DataFrame, price_column: str) -> None:
if pair_nm not in TRADES: def _create_pairs(config: Dict) -> List[TradingPair]:
TRADES[pair_nm] = {symbol: []} instruments = config["instruments"]
if symbol not in TRADES[pair_nm]: all_indexes = range(len(instruments))
TRADES[pair_nm][symbol] = [] unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
TRADES[pair_nm][symbol].append((action, price)) pairs = []
for a_index, b_index in unique_index_pairs:
symbol_a = instruments[a_index]
symbol_b = instruments[b_index]
pair = TradingPair(symbol_a, symbol_b, price_column)
pairs.append(pair)
return pairs
def collect_single_day_results(result):
if result is None:
return
print("\n -------------- Suggested Trades ")
print(result)
for row in result.itertuples():
action = row.action
symbol = row.symbol
price = row.price
add_trade(pair_nm=row.pair, action=action, symbol=symbol, price=price)
def print_single_day_results(result):
for pair, symbols in TRADES.items():
print(f"\n--- {pair} ---")
for symbol, trades in symbols.items():
for side, price in trades:
print(f"{symbol} {side} at ${price}")
def print_results_suummary(all_results):
# Summary of all processed files
print("\n====== Summary of All Processed Files ======")
for filename, data in all_results.items():
trade_count = sum(
len(trades)
for symbol_trades in data["trades"].values()
for trades in symbol_trades.values()
)
print(f"{filename}: {trade_count} trades")
def calculate_returns(all_results: Dict):
global TOTAL_REALIZED_PNL
print("\n====== Returns By Day and Pair ======")
for filename, data in all_results.items():
day_return = 0
print(f"\n--- {filename} ---")
# Process each pair
for pair, symbols in data["trades"].items():
pair_return = 0
pair_trades = []
# Calculate individual symbol returns in the pair
for symbol, trades in symbols.items():
if len(trades) >= 2: # Need at least entry and exit
# Get entry and exit trades
entry_action, entry_price = trades[0]
exit_action, exit_price = trades[1]
# Calculate return based on action
symbol_return = 0
if entry_action == "BUY" and exit_action == "SELL":
# Long position
symbol_return = (exit_price - entry_price) / entry_price * 100
elif entry_action == "SELL" and exit_action == "BUY":
# Short position
symbol_return = (entry_price - exit_price) / entry_price * 100
pair_trades.append(
(
symbol,
entry_action,
entry_price,
exit_action,
exit_price,
symbol_return,
)
)
pair_return += symbol_return
# Print pair returns
if pair_trades:
print(f" {pair}:")
for (
symbol,
entry_action,
entry_price,
exit_action,
exit_price,
symbol_return,
) in pair_trades:
print(
f" {symbol}: {entry_action} @ ${entry_price:.2f}, {exit_action} @ ${exit_price:.2f}, Return: {symbol_return:.2f}%"
)
print(f" Pair Total Return: {pair_return:.2f}%")
day_return += pair_return
# Print day total return and add to global realized PnL
if day_return != 0:
print(f" Day Total Return: {day_return:.2f}%")
TOTAL_REALIZED_PNL += day_return
def run_pairs(summaries_df: pd.DataFrame, price_column: str) -> None:
result_df = transform_dataframe(df=summaries_df, price_column=price_column)
stock_price_columns = [
column
for column in result_df.columns
if column.startswith(f"{price_column}_")
]
# Find the starting indices for A and B
all_indexes = range(len(stock_price_columns))
unique_index_pairs = [(i, j) for i in all_indexes for j in all_indexes if i < j]
pairs_trades = [] pairs_trades = []
for a_index, b_index in unique_index_pairs: for pair in _create_pairs(config):
# Get the actual variable names # Get the actual variable names
colname_a = stock_price_columns[a_index] # colname_a = stock_price_columns[a_index]
colname_b = stock_price_columns[b_index] # colname_b = stock_price_columns[b_index]
symbol_a = colname_a[len(f"{price_column}-") :] # symbol_a = colname_a[len(f"{price_column}-") :]
symbol_b = colname_b[len(f"{price_column}-") :] # symbol_b = colname_b[len(f"{price_column}-") :]
pair = TradingPair(symbol_a, symbol_b, price_column) # pair = TradingPair(symbol_a, symbol_b, price_column)
single_pair_trades = run_single_pair(market_data=result_df, price_column=price_column, pair=pair) single_pair_trades = run_single_pair(
market_data=market_data_df, price_column=price_column, pair=pair
)
if len(single_pair_trades) > 0: if len(single_pair_trades) > 0:
pairs_trades.append(single_pair_trades) pairs_trades.append(single_pair_trades)
# Check if result_list has any data before concatenating # Check if result_list has any data before concatenating
@ -645,48 +407,15 @@ def run_pairs(summaries_df: pd.DataFrame, price_column: str) -> None:
result["time"] = pd.to_datetime(result["time"]) result["time"] = pd.to_datetime(result["time"])
result = result.set_index("time").sort_index() result = result.set_index("time").sort_index()
collect_single_day_results(result) BacktestResults.collect_single_day_results(result)
# print_single_day_results(result) # BacktestResults.print_single_day_results()
def print_outstanding_positions():
"""Print all outstanding positions with share quantities and unrealized PnL"""
if not OUTSTANDING_POSITIONS:
print("\n====== NO OUTSTANDING POSITIONS ======")
return
print(f"\n====== OUTSTANDING POSITIONS ======")
print(f"{'Pair':<15} {'Symbol':<6} {'Side':<4} {'Shares':<10} {'Open $':<8} {'Current $':<10} {'Unrealized $':<12} {'%':<8} {'Close Eq':<10}")
print("-" * 105)
total_unrealized_dollar = 0.0
for pos in OUTSTANDING_POSITIONS:
# Print position A
print(f"{pos['pair']:<15} {pos['symbol_a']:<6} {pos['side_a']:<4} {pos['shares_a']:<10.2f} {pos['open_px_a']:<8.2f} {pos['current_px_a']:<10.2f} {pos['unrealized_dollar_a']:<12.2f} {pos['unrealized_dollar_a']/500*100:<8.2f} {'':<10}")
# Print position B
print(f"{'':<15} {pos['symbol_b']:<6} {pos['side_b']:<4} {pos['shares_b']:<10.2f} {pos['open_px_b']:<8.2f} {pos['current_px_b']:<10.2f} {pos['unrealized_dollar_b']:<12.2f} {pos['unrealized_dollar_b']/500*100:<8.2f} {'':<10}")
# Print pair totals with equilibrium info
equilibrium_status = "CLOSE" if pos['current_abs_term'] < pos['closing_threshold'] else f"{pos['equilibrium_ratio']:.2f}x"
print(f"{'':<15} {'PAIR':<6} {'TOT':<4} {'':<10} {'':<8} {'':<10} {pos['total_unrealized_dollar']:<12.2f} {pos['total_unrealized_dollar']/1000*100:<8.2f} {equilibrium_status:<10}")
# Print equilibrium details
print(f"{'':<15} {'EQ':<6} {'INFO':<4} {'':<10} {'':<8} {'':<10} {'Curr:':<6}{pos['current_abs_term']:<6.4f} {'Thresh:':<7}{pos['closing_threshold']:<6.4f} {'':<10}")
print("-" * 105)
total_unrealized_dollar += pos['total_unrealized_dollar']
print(f"{'TOTAL OUTSTANDING':<80} ${total_unrealized_dollar:<12.2f}")
if __name__ == "__main__": if __name__ == "__main__":
# Initialize a dictionary to store all trade results # Initialize a dictionary to store all trade results
all_results = {} all_results: Dict[str, Dict[str, Any]] = {}
# Initialize global PnL tracking variables # Initialize global PnL tracking variables
TOTAL_REALIZED_PNL = 0.0
TOTAL_UNREALIZED_PNL = 0.0
OUTSTANDING_POSITIONS = []
# Process each data file # Process each data file
price_column = CONFIG["price_column"] price_column = CONFIG["price_column"]
@ -694,39 +423,36 @@ if __name__ == "__main__":
print(f"\n====== Processing {datafile} ======") print(f"\n====== Processing {datafile} ======")
# Clear the TRADES global dictionary and reset unrealized PnL for the new file # Clear the TRADES global dictionary and reset unrealized PnL for the new file
TRADES.clear() BacktestResults.clear_trades()
TOTAL_UNREALIZED_PNL = 0.0
TOTAL_REALIZED_PNL = 0.0
# Process data for this file # Process data for this file
try: try:
run_pairs( market_data_df = load_market_data(
summaries_df=load_market_data(f'{CONFIG["data_directory"]}/{datafile}', config=CONFIG), f'{CONFIG["data_directory"]}/{datafile}', config=CONFIG
price_column=price_column
) )
market_data_df = transform_dataframe(
df=market_data_df, price_column=price_column
)
run_pairs(config=CONFIG, market_data_df=market_data_df, price_column=price_column)
# Store results with file name as key # Store results with file name as key
filename = datafile.split("/")[-1] filename = datafile.split("/")[-1]
all_results[filename] = {"trades": TRADES.copy()} all_results[filename] = {"trades": BacktestResults.trades.copy()}
print(f"Successfully processed {filename}") print(f"Successfully processed {filename}")
# Print total unrealized PnL for this file # Print total unrealized PnL for this file
if TOTAL_UNREALIZED_PNL != 0: print(
print(f"\n====== TOTAL UNREALIZED PnL for {filename}: {TOTAL_UNREALIZED_PNL:.2f}% ======") f"\n====== TOTAL UNREALIZED PnL for {filename}: {BacktestResults.get_total_unrealized_pnl():.2f}% ======"
else: )
print(f"\n====== No unrealized positions for {filename} ======")
except Exception as e: except Exception as e:
print(f"Error processing {datafile}: {str(e)}") print(f"Error processing {datafile}: {str(e)}")
# print_results_suummary(all_results) # BacktestResults.print_results_summary(all_results)
calculate_returns(all_results) BacktestResults.calculate_returns(all_results)
# Print grand totals # Print grand totals
print(f"\n====== GRAND TOTALS ACROSS ALL PAIRS ======") BacktestResults.print_grand_totals()
print(f"Total Realized PnL: {TOTAL_REALIZED_PNL:.2f}%")
print(f"Total Unrealized PnL: {TOTAL_UNREALIZED_PNL:.2f}%")
print(f"Combined Total PnL: {TOTAL_REALIZED_PNL + TOTAL_UNREALIZED_PNL:.2f}%")
print_outstanding_positions() BacktestResults.print_outstanding_positions()

315
src/results.py Normal file
View File

@ -0,0 +1,315 @@
from typing import Any, Dict, List
import pandas as pd
class BacktestResult:
"""
Class to handle backtest results, trades tracking, PnL calculations, and reporting.
"""
def __init__(self, config: Dict[str, Any]):
self.config = config
self.trades: Dict[str, Dict[str, Any]] = {}
self.total_unrealized_pnl = 0.0
self.total_realized_pnl = 0.0
self.outstanding_positions: List[Dict[str, Any]] = []
def add_trade(self, pair_nm, symbol, action, price):
"""Add a trade to the results tracking."""
pair_nm = str(pair_nm)
if pair_nm not in self.trades:
self.trades[pair_nm] = {symbol: []}
if symbol not in self.trades[pair_nm]:
self.trades[pair_nm][symbol] = []
self.trades[pair_nm][symbol].append((action, price))
def add_unrealized_pnl(self, unrealized_pnl: float):
"""Add unrealized PnL to the total."""
self.total_unrealized_pnl += unrealized_pnl
def add_outstanding_position(self, position: Dict[str, Any]):
"""Add an outstanding position to tracking."""
self.outstanding_positions.append(position)
def add_realized_pnl(self, realized_pnl: float):
"""Add realized PnL to the total."""
self.total_realized_pnl += realized_pnl
def get_total_unrealized_pnl(self) -> float:
"""Get total unrealized PnL."""
return self.total_unrealized_pnl
def get_total_realized_pnl(self) -> float:
"""Get total realized PnL."""
return self.total_realized_pnl
def get_outstanding_positions(self) -> List[Dict[str, Any]]:
"""Get all outstanding positions."""
return self.outstanding_positions
def get_trades(self) -> Dict[str, Dict[str, Any]]:
"""Get all trades."""
return self.trades
def clear_trades(self):
"""Clear all trades (used when processing new files)."""
self.trades.clear()
def collect_single_day_results(self, result):
"""Collect and process single day trading results."""
if result is None:
return
print("\n -------------- Suggested Trades ")
print(result)
for row in result.itertuples():
action = row.action
symbol = row.symbol
price = row.price
self.add_trade(
pair_nm=row.pair, action=action, symbol=symbol, price=price
)
def print_single_day_results(self):
"""Print single day results summary."""
for pair, symbols in self.trades.items():
print(f"\n--- {pair} ---")
for symbol, trades in symbols.items():
for side, price in trades:
print(f"{symbol} {side} at ${price}")
def print_results_summary(self, all_results):
"""Print summary of all processed files."""
print("\n====== Summary of All Processed Files ======")
for filename, data in all_results.items():
trade_count = sum(
len(trades)
for symbol_trades in data["trades"].values()
for trades in symbol_trades.values()
)
print(f"{filename}: {trade_count} trades")
def calculate_returns(self, all_results: Dict):
"""Calculate and print returns by day and pair."""
print("\n====== Returns By Day and Pair ======")
for filename, data in all_results.items():
day_return = 0
print(f"\n--- {filename} ---")
# Process each pair
for pair, symbols in data["trades"].items():
pair_return = 0
pair_trades = []
# Calculate individual symbol returns in the pair
for symbol, trades in symbols.items():
if len(trades) >= 2: # Need at least entry and exit
# Get entry and exit trades
entry_action, entry_price = trades[0]
exit_action, exit_price = trades[1]
# Calculate return based on action
symbol_return = 0
if entry_action == "BUY" and exit_action == "SELL":
# Long position
symbol_return = (exit_price - entry_price) / entry_price * 100
elif entry_action == "SELL" and exit_action == "BUY":
# Short position
symbol_return = (entry_price - exit_price) / entry_price * 100
pair_trades.append(
(
symbol,
entry_action,
entry_price,
exit_action,
exit_price,
symbol_return,
)
)
pair_return += symbol_return
# Print pair returns
if pair_trades:
print(f" {pair}:")
for (
symbol,
entry_action,
entry_price,
exit_action,
exit_price,
symbol_return,
) in pair_trades:
print(
f" {symbol}: {entry_action} @ ${entry_price:.2f}, {exit_action} @ ${exit_price:.2f}, Return: {symbol_return:.2f}%"
)
print(f" Pair Total Return: {pair_return:.2f}%")
day_return += pair_return
# Print day total return and add to global realized PnL
if day_return != 0:
print(f" Day Total Return: {day_return:.2f}%")
self.add_realized_pnl(day_return)
def print_outstanding_positions(self):
"""Print all outstanding positions with share quantities and unrealized PnL."""
if not self.get_outstanding_positions():
print("\n====== NO OUTSTANDING POSITIONS ======")
return
print(f"\n====== OUTSTANDING POSITIONS ======")
print(
f"{'Pair':<15}"
f" {'Symbol':<10}"
f" {'Side':<4}"
f" {'Shares':<10}"
f" {'Open $':<8}"
f" {'Current $':<10}"
f" {'Unrealized $':<12}"
f" {'%':<8}"
f" {'Close Eq':<10}"
)
print("-" * 105)
total_unrealized_dollar = 0.0
for pos in self.get_outstanding_positions():
# Print position A
print(
f"{pos['pair']:<15} {pos['symbol_a']:<6} {pos['side_a']:<4} {pos['shares_a']:<10.2f} {pos['open_px_a']:<8.2f} {pos['current_px_a']:<10.2f} {pos['unrealized_dollar_a']:<12.2f} {pos['unrealized_dollar_a']/500*100:<8.2f} {'':<10}"
)
# Print position B
print(
f"{'':<15} {pos['symbol_b']:<6} {pos['side_b']:<4} {pos['shares_b']:<10.2f} {pos['open_px_b']:<8.2f} {pos['current_px_b']:<10.2f} {pos['unrealized_dollar_b']:<12.2f} {pos['unrealized_dollar_b']/500*100:<8.2f} {'':<10}"
)
# Print pair totals with disequilibrium info
disequilibrium_status = (
"CLOSE"
if pos["current_abs_term"] < pos["closing_threshold"]
else f"{pos['disequilibrium_ratio']:.2f}x"
)
print(
f"{'':<15} {'PAIR':<6} {'TOT':<4} {'':<10} {'':<8} {'':<10} {pos['total_unrealized_dollar']:<12.2f} {pos['total_unrealized_dollar']/1000*100:<8.2f} {disequilibrium_status:<10}"
)
# Print disequilibrium details
print(
f"{'':<15} {'EQ':<6} {'INFO':<4} {'':<10} {'':<8} {'':<10} {'Curr:':<6}{pos['current_abs_term']:<6.4f} {'Thresh:':<7}{pos['closing_threshold']:<6.4f} {'':<10}"
)
print("-" * 105)
total_unrealized_dollar += pos["total_unrealized_dollar"]
print(f"{'TOTAL OUTSTANDING':<80} ${total_unrealized_dollar:<12.2f}")
def print_grand_totals(self):
"""Print grand totals across all pairs."""
print(f"\n====== GRAND TOTALS ACROSS ALL PAIRS ======")
print(f"Total Realized PnL: {self.get_total_realized_pnl():.2f}%")
print(f"Total Unrealized PnL: {self.get_total_unrealized_pnl():.2f}%")
print(
f"Combined Total PnL: {self.get_total_realized_pnl() + self.get_total_unrealized_pnl():.2f}%"
)
def handle_outstanding_position(self, pair, pair_result_df, last_row_index,
open_side_a, open_side_b, open_px_a, open_px_b,
open_tstamp, initial_abs_term, colname_a, colname_b):
"""
Handle calculation and tracking of outstanding positions when no close signal is found.
Args:
pair: TradingPair object
pair_result_df: DataFrame with pair results
last_row_index: Index of the last row in the data
open_side_a, open_side_b: Trading sides for symbols A and B
open_px_a, open_px_b: Opening prices for symbols A and B
open_tstamp: Opening timestamp
initial_abs_term: Initial absolute disequilibrium term
colname_a, colname_b: Column names for the price data
Returns:
tuple: (unrealized_pnl_a, unrealized_pnl_b, unrealized_dollar_a, unrealized_dollar_b)
"""
last_row = pair_result_df.loc[last_row_index]
last_tstamp = last_row["tstamp"]
last_px_a = last_row[colname_a]
last_px_b = last_row[colname_b]
# Calculate share quantities based on funding per pair
# Split funding equally between the two positions
funding_per_position = self.config["funding_per_pair"] / 2
shares_a = funding_per_position / open_px_a
shares_b = funding_per_position / open_px_b
# Calculate unrealized PnL for each position
if open_side_a == "BUY":
unrealized_pnl_a = (last_px_a - open_px_a) / open_px_a * 100
unrealized_dollar_a = shares_a * (last_px_a - open_px_a)
else: # SELL
unrealized_pnl_a = (open_px_a - last_px_a) / open_px_a * 100
unrealized_dollar_a = shares_a * (open_px_a - last_px_a)
if open_side_b == "BUY":
unrealized_pnl_b = (last_px_b - open_px_b) / open_px_b * 100
unrealized_dollar_b = shares_b * (last_px_b - open_px_b)
else: # SELL
unrealized_pnl_b = (open_px_b - last_px_b) / open_px_b * 100
unrealized_dollar_b = shares_b * (open_px_b - last_px_b)
total_unrealized_pnl = unrealized_pnl_a + unrealized_pnl_b
total_unrealized_dollar = unrealized_dollar_a + unrealized_dollar_b
# Add to global total
self.add_unrealized_pnl(total_unrealized_pnl)
# Store outstanding positions
self.add_outstanding_position(
{
"pair": str(pair),
"symbol_a": pair.symbol_a_,
"symbol_b": pair.symbol_b_,
"side_a": open_side_a,
"side_b": open_side_b,
"shares_a": shares_a,
"shares_b": shares_b,
"open_px_a": open_px_a,
"open_px_b": open_px_b,
"current_px_a": last_px_a,
"current_px_b": last_px_b,
"unrealized_dollar_a": unrealized_dollar_a,
"unrealized_dollar_b": unrealized_dollar_b,
"total_unrealized_dollar": total_unrealized_dollar,
"open_time": open_tstamp,
"last_time": last_tstamp,
"initial_abs_term": initial_abs_term,
"current_abs_term": pair_result_df.loc[
last_row_index, "scaled_disequilibrium"
],
"closing_threshold": initial_abs_term
/ self.config["disequilibrium_close_trshld"],
"disequilibrium_ratio": pair_result_df.loc[
last_row_index, "scaled_disequilibrium"
]
/ (initial_abs_term / self.config["disequilibrium_close_trshld"]),
}
)
# Print position details
print(f"{pair}: NO CLOSE SIGNAL FOUND - Position held until end of session")
print(f" Open: {open_tstamp} | Last: {last_tstamp}")
print(
f" {pair.symbol_a_}: {open_side_a} {shares_a:.2f} shares @ ${open_px_a:.2f} -> ${last_px_a:.2f} | Unrealized: ${unrealized_dollar_a:.2f} ({unrealized_pnl_a:.2f}%)"
)
print(
f" {pair.symbol_b_}: {open_side_b} {shares_b:.2f} shares @ ${open_px_b:.2f} -> ${last_px_b:.2f} | Unrealized: ${unrealized_dollar_b:.2f} ({unrealized_pnl_b:.2f}%)"
)
print(
f" Total Unrealized: ${total_unrealized_dollar:.2f} ({total_unrealized_pnl:.2f}%)"
)
return unrealized_pnl_a, unrealized_pnl_b, unrealized_dollar_a, unrealized_dollar_b

125
src/tools/data_loader.py
View File

@ -1,8 +1,11 @@
import sys import sys
import sqlite3 import sqlite3
from typing import Dict, Tuple
import pandas as pd import pandas as pd
from tools.trading_pair import TradingPair
def load_sqlite_to_dataframe(db_path, query): def load_sqlite_to_dataframe(db_path, query):
try: try:
conn = sqlite3.connect(db_path) conn = sqlite3.connect(db_path)
@ -16,10 +19,122 @@ def load_sqlite_to_dataframe(db_path, query):
print(f"Error: {excpt}") print(f"Error: {excpt}")
raise raise
finally: finally:
if 'conn' in locals(): if "conn" in locals():
conn.close() conn.close()
if __name__ == "__main__":
df1 = load_sqlite_to_dataframe(sys.argv[1], table_name='md_1min_bars')
print(df1) def convert_time_to_UTC(value: str, timezone: str):
from zoneinfo import ZoneInfo
from datetime import datetime
# Parse it to naive datetime object
local_dt = datetime.strptime(value, "%Y-%m-%d %H:%M:%S")
zinfo = ZoneInfo(timezone)
result = local_dt.replace(tzinfo=zinfo)
result = result.astimezone(ZoneInfo("UTC"))
result = result.strftime("%Y-%m-%d %H:%M:%S")
return result
def load_market_data(datafile: str, config: Dict) -> pd.DataFrame:
from tools.data_loader import load_sqlite_to_dataframe
instrument_ids = [
'"' + config["instrument_id_pfx"] + instrument + '"'
for instrument in config["instruments"]
]
security_type = config["security_type"]
exchange_id = config["exchange_id"]
query = "select"
if security_type == "CRYPTO":
query += " strftime('%Y-%m-%d %H:%M:%S', tstamp/1000000000, 'unixepoch') as tstamp"
query += ", tstamp as time_ns"
else:
query += " tstamp"
query += ", tstamp_ns as time_ns"
query += f", substr(instrument_id, {len(config['instrument_id_pfx']) + 1}) as symbol"
query += ", open"
query += ", high"
query += ", low"
query += ", close"
query += ", volume"
query += ", num_trades"
query += ", vwap"
query += f" from {config['db_table_name']}"
query += f" where exchange_id ='{exchange_id}'"
query += f" and instrument_id in ({','.join(instrument_ids)})"
df = load_sqlite_to_dataframe(db_path=datafile, query=query)
# Trading Hours
date_str = df["tstamp"][0][0:10]
trading_hours = config["trading_hours"]
start_time = convert_time_to_UTC(
f"{date_str} {trading_hours['begin_session']}", trading_hours["timezone"]
)
end_time = convert_time_to_UTC(
f"{date_str} {trading_hours['end_session']}", trading_hours["timezone"]
)
# Perform boolean selection
df = df[(df["tstamp"] >= start_time) & (df["tstamp"] <= end_time)]
df["tstamp"] = pd.to_datetime(df["tstamp"])
return df
def transform_dataframe(df: pd.DataFrame, price_column: str):
# Select only the columns we need
df_selected = df[["tstamp", "symbol", price_column]]
# Start with unique timestamps
result_df: pd.DataFrame = pd.DataFrame(df_selected["tstamp"]).drop_duplicates().reset_index(drop=True)
# For each unique symbol, add a corresponding close price column
for symbol in df_selected["symbol"].unique():
# Filter rows for this symbol
df_symbol = df_selected[df_selected["symbol"] == symbol].reset_index(drop=True)
# Create column name like "close-COIN"
new_price_column = f"{price_column}_{symbol}"
# Create temporary dataframe with timestamp and price
temp_df = pd.DataFrame({
"tstamp": df_symbol["tstamp"],
new_price_column: df_symbol[price_column]
})
# Join with our result dataframe
result_df = pd.merge(result_df, temp_df, on="tstamp", how="left")
result_df = result_df.reset_index(drop=True) # do not dropna() since irrelevant symbol would affect dataset
return result_df
def get_datasets(df: pd.DataFrame, training_minutes: int, pair: TradingPair) -> Tuple[pd.DataFrame, pd.DataFrame]:
# Training dataset
colname_a, colname_b = pair.colnames()
df = df[["tstamp", colname_a, colname_b]]
df = df.dropna()
training_df = df.iloc[:training_minutes - 1, :].copy()
training_df.reset_index(drop=True).dropna().reset_index(drop=True)
# Testing dataset
testing_df = df.iloc[training_minutes:, :].copy()
testing_df.reset_index(drop=True).dropna().reset_index(drop=True)
return (training_df, testing_df)
if __name__ == "__main__":
df1 = load_sqlite_to_dataframe(sys.argv[1], table_name="md_1min_bars")
print(df1)

37
src/tools/trading_pair.py Normal file
View File

@ -0,0 +1,37 @@
from typing import List, Optional
class TradingPair:
symbol_a_: str
symbol_b_: str
price_column_: str
disequilibrium_mu_: Optional[float]
disequilibrium_std_: Optional[float]
def __init__(self, symbol_a: str, symbol_b: str, price_column: str):
self.symbol_a_ = symbol_a
self.symbol_b_ = symbol_b
self.price_column_ = price_column
self.disequilibrium_mu_ = None
self.disequilibrium_std_ = None
def colnames(self) -> List[str]:
return [f"{self.price_column_}_{self.symbol_a_}", f"{self.price_column_}_{self.symbol_b_}"]
def set_training_disequilibrium(self, disequilibrium_mu: float, disequilibrium_std: float):
self.disequilibrium_mu_ = disequilibrium_mu
self.disequilibrium_std_ = disequilibrium_std
def mu(self) -> float:
assert self.disequilibrium_mu_ is not None
return self.disequilibrium_mu_
def std(self) -> float:
assert self.disequilibrium_std_ is not None
return self.disequilibrium_std_
def __repr__(self) ->str:
return f"{self.symbol_a_} & {self.symbol_b_}"