104 lines
3.5 KiB
Python
104 lines
3.5 KiB
Python
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"""
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Diagnose hanging backtest engine.
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Feed only 500 rows of day 1, with extensive logging.
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"""
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import sys, time
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sys.path.insert(0, '.')
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sys.path.insert(0, 'nautilus_dolphin')
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from nautilus_dolphin.nautilus.dolphin_actor import DolphinActor
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from prod.nautilus_native_backtest import get_parquet_files, _make_instrument
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import pandas as pd
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import numpy as np
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from nautilus_trader.model.identifiers import Venue
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from nautilus_trader.backtest.engine import BacktestEngine, BacktestEngineConfig
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from nautilus_trader.model.enums import OmsType, AccountType
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from nautilus_trader.model.objects import Money, Currency
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from nautilus_trader.model.data import BarType, Bar
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import prod.nautilus_native_backtest as _nbt_mod
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files = get_parquet_files()
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df0 = pd.read_parquet(files[0])
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df0 = df0.iloc[:500] # JUST 500 ROWS!
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SKIP_COLS = {
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'timestamp', 'scan_number', 'v50_lambda_max_velocity', 'v150_lambda_max_velocity',
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'v300_lambda_max_velocity', 'v750_lambda_max_velocity', 'vel_div',
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'instability_50', 'instability_150'
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}
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asset_cols = [c for c in df0.columns if c not in SKIP_COLS]
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NV = Venue('BINANCE')
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instruments = {}
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for sym in asset_cols:
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try: instruments[sym] = _make_instrument(sym, NV)
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except: pass
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print("Building features and bars...")
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_nbt_mod._FEATURE_STORE.clear()
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all_bars = []
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import datetime
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# Midnight nanoseconds
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day_dt = datetime.datetime.strptime(files[0].stem, '%Y-%m-%d').replace(tzinfo=datetime.timezone.utc)
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day_start_ns = int(day_dt.timestamp() * 1e9)
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for ri in range(len(df0)):
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row = df0.iloc[ri]
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ts_ns = int(day_start_ns + ri * 5 * 1_000_000_000)
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_nbt_mod._FEATURE_STORE[ts_ns] = {
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'vel_div': float(row.get('vel_div', 0.0)),
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'v50': float(row.get('v50_lambda_max_velocity', 0.0)),
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'v750': float(row.get('v750_lambda_max_velocity', 0.0)),
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'inst50': float(row.get('instability_50', 0.0)),
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'vol_ok': True,
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'row_i': ri,
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}
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for sym in asset_cols:
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px = row.get(sym)
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if px and np.isfinite(float(px)) and float(px)>0:
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bt = BarType.from_str(f"{sym}.BINANCE-5-SECOND-LAST-EXTERNAL")
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bar = _nbt_mod._make_bar(bt, float(px), ts_ns)
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all_bars.append(bar)
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print(f"Created {len(all_bars)} bars.")
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# Build engine
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be_cfg = BacktestEngineConfig(trader_id='TEST-DIAGNOSE-01')
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bt_engine = BacktestEngine(config=be_cfg)
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usdt = Currency.from_str('USDT')
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bt_engine.add_venue(venue=NV, oms_type=OmsType.HEDGING, account_type=AccountType.MARGIN, base_currency=usdt, starting_balances=[Money('25000', usdt)])
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for sym, instr in instruments.items():
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bt_engine.add_instrument(instr)
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actor_cfg = {
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'engine': dict(_nbt_mod.CHAMPION_ENGINE_CFG),
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'paper_trade': {'initial_capital': 25000.0},
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'posture_override': 'APEX',
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'live_mode': False,
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'native_mode': True,
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'run_date': files[0].stem,
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'bar_type': 'BTCUSDT.BINANCE-5-SECOND-LAST-EXTERNAL',
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'mc_models_dir': _nbt_mod.MC_MODELS_DIR,
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'mc_base_cfg': _nbt_mod.MC_BASE_CFG,
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'venue': 'BINANCE',
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'vol_p60': 0.0002,
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'acb_preload_dates': [f.stem for f in files],
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'assets': asset_cols,
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'parquet_dir': 'vbt_cache',
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'registered_assets': asset_cols,
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}
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actor_cfg['engine']['initial_capital'] = 25000.0
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actor = DolphinActor(config=actor_cfg)
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bt_engine.add_strategy(actor)
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bt_engine.add_data(all_bars)
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print("Starting BacktestEngine run...")
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t0 = time.time()
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bt_engine.run()
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print(f"Done in {time.time()-t0:.2f}s")
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