research/stat_pairs_backtest
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This commit is contained in:
Oleg Sheynin
2026-01-11 13:33:58 +00:00
parent 6dd0f97d74
commit b196863a34
26 changed files with 5365 additions and 5566 deletions
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lib/tools/config.py
+4 -4
View File
@@ -1,12 +1,12 @@
import hjson
from typing import Dict
from datetime import datetime
# ---
from cvttpy_tools.config import Config
def load_config(config_path: str) -> Dict:
with open(config_path, "r") as f:
config = hjson.load(f)
return dict(config)
def load_config(config_path: str) -> Config:
return Config(json_src=f"file://{config_path}")
def expand_filename(filename: str) -> str:
lib/tools/data_loader.py
+7 -8
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@@ -1,9 +1,10 @@
from __future__ import annotations
import sqlite3
from typing import Dict, List, cast
from typing import Any, Dict, List, Tuple, cast
import pandas as pd
from cvttpy_trading.trading.instrument import ExchangeInstrument
def load_sqlite_to_dataframe(db_path:str, query:str) -> pd.DataFrame:
df: pd.DataFrame = pd.DataFrame()
@@ -45,19 +46,17 @@ def convert_time_to_UTC(value: str, timezone: str, extra_minutes: int = 0) -> st
def load_market_data(
datafile: str,
instruments: List[Dict[str, str]],
instruments: List[ExchangeInstrument],
db_table_name: str,
trading_hours: Dict = {},
extra_minutes: int = 0,
) -> pd.DataFrame:
insts = [
'"' + instrument["instrument_id_pfx"] + instrument["symbol"] + '"'
for instrument in instruments
]
instrument_ids = list(set(insts))
inst_ids = ['"' + exch_inst.instrument_id() + '"' for exch_inst in instruments]
instrument_ids = list(set(inst_ids))
exchange_ids = list(
set(['"' + instrument["exchange_id"] + '"' for instrument in instruments])
set(['"' + instrument.exchange_id() + '"' for instrument in instruments])
)
query = "select"
lib/tools/filetools.py
+7 -3
View File
@@ -1,17 +1,21 @@
import os
import glob
from typing import Dict, List, Tuple
# ---
from cvttpy_tools.config import CvttAppConfig
# ---
from cvttpy_trading.trading.instrument import ExchangeInstrument
DayT = str
DataFileNameT = str
def resolve_datafiles(
config: Dict, date_pattern: str, instruments: List[Dict[str, str]]
config: Dict, date_pattern: str, instruments: List[ExchangeInstrument]
) -> List[Tuple[DayT, DataFileNameT]]:
resolved_files: List[Tuple[DayT, DataFileNameT]] = []
for inst in instruments:
for exch_inst in instruments:
pattern = date_pattern
inst_type = inst["instrument_type"]
inst_type = exch_inst.user_data_.get("instrument_type", "?instrument_type?")
data_dir = config["market_data_loading"][inst_type]["data_directory"]
if "*" in pattern or "?" in pattern:
# Handle wildcards
lib/tools/instruments.py
-21
View File
@@ -1,21 +0,0 @@
import argparse
from typing import Dict, List
def get_instruments(args: argparse.Namespace, config: Dict) -> List[Dict[str, str]]:
instruments = [
{
"symbol": inst.split(":")[0],
"instrument_type": inst.split(":")[1],
"exchange_id": inst.split(":")[2],
"instrument_id_pfx": config["market_data_loading"][inst.split(":")[1]][
"instrument_id_pfx"
],
"db_table_name": config["market_data_loading"][inst.split(":")[1]][
"db_table_name"
],
}
for inst in args.instruments.split(",")
]
return instruments
lib/tools/viz/viz_prices.py
+2 -2
View File
@@ -8,8 +8,8 @@ def visualize_prices(strategy: PtResearchStrategy, trading_date: str) -> None:
import seaborn as sns
pair = strategy.trading_pair_
SYMBOL_A = pair.symbol_a_
SYMBOL_B = pair.symbol_b_
SYMBOL_A = pair.symbol_a()
SYMBOL_B = pair.symbol_b()
TRD_DATE = f"{trading_date[0:4]}-{trading_date[4:6]}-{trading_date[6:8]}"
plt.style.use('seaborn-v0_8')
lib/tools/viz/viz_trades.py
+13 -18
View File
@@ -1,13 +1,8 @@
from __future__ import annotations
import os
from typing import Any, Dict
from pairs_trading.lib.pairs_trading.lib.tegy.results import (PairResearchResult, create_result_database,
store_config_in_database)
from pairs_trading.lib.pairs_trading.lib.t_strategy.research_strategy import PtResearchStrategy
from pairs_trading.lib.tools.filetools import resolve_datafiles
from pairs_trading.lib.tools.instruments import get_instruments
from pairs_trading.lib.pt_strategy.results import (PairResearchResult)
from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult, trading_date: str) -> None:
@@ -25,8 +20,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
origin_mkt_data_df = strategy.pt_mkt_data_.origin_mkt_data_df_
mkt_data_df = strategy.pt_mkt_data_.market_data_df_
TRD_DATE = f"{trading_date[0:4]}-{trading_date[4:6]}-{trading_date[6:8]}"
SYMBOL_A = pair.symbol_a_
SYMBOL_B = pair.symbol_b_
SYMBOL_A = pair.symbol_a()
SYMBOL_B = pair.symbol_b()
print(f"\nCreated trading pair: {pair}")
@@ -51,7 +46,7 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
timeline_df = pd.DataFrame({'tstamp': all_timestamps})
# Merge with predicted data to get dis-equilibrium values
timeline_df = timeline_df.merge(strategy.predictions_[['tstamp', 'disequilibrium', 'scaled_disequilibrium', 'signed_scaled_disequilibrium']],
timeline_df = timeline_df.merge(strategy.predictions_df_[['tstamp', 'disequilibrium', 'scaled_disequilibrium', 'signed_scaled_disequilibrium']],
on='tstamp', how='left')
# Get Symbol_A and Symbol_B market data
@@ -110,8 +105,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=strategy.config_['dis-equilibrium_open_trshld'],
y1=strategy.config_['dis-equilibrium_open_trshld'],
y0=strategy.config_.get_value('dis-equilibrium_open_trshld'),
y1=strategy.config_.get_value('dis-equilibrium_open_trshld'),
line=dict(color="purple", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -121,8 +116,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=-strategy.config_['dis-equilibrium_open_trshld'],
y1=-strategy.config_['dis-equilibrium_open_trshld'],
y0=-strategy.config_.get_value('dis-equilibrium_open_trshld'),
y1=-strategy.config_.get_value('dis-equilibrium_open_trshld'),
line=dict(color="purple", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -132,8 +127,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=strategy.config_['dis-equilibrium_close_trshld'],
y1=strategy.config_['dis-equilibrium_close_trshld'],
y0=strategy.config_.get_value('dis-equilibrium_close_trshld'),
y1=strategy.config_.get_value('dis-equilibrium_close_trshld'),
line=dict(color="brown", width=2, dash="dot"),
opacity=0.7,
row=1, col=1
@@ -143,8 +138,8 @@ def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult,
type="line",
x0=timeline_df['tstamp'].min(),
x1=timeline_df['tstamp'].max(),
y0=-strategy.config_['dis-equilibrium_close_trshld'],
y1=-strategy.config_['dis-equilibrium_close_trshld'],
y0=-strategy.config_.get_value('dis-equilibrium_close_trshld'),
y1=-strategy.config_.get_value('dis-equilibrium_close_trshld'),
line=dict(color="brown", width=2, dash="dot"),
opacity=0.7,
row=1, col=1