55 lines
1.9 KiB
Python
55 lines
1.9 KiB
Python
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"""Quick 1-day smoke test for nautilus_native_backtest harness."""
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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 prod.nautilus_native_backtest import run_one_day_native, 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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files = get_parquet_files()
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df0 = pd.read_parquet(files[0])
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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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print(f'Building {len(asset_cols)} instruments...')
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instruments = {}
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for sym in asset_cols:
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try:
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instruments[sym] = _make_instrument(sym, NV)
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except Exception as e:
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print(f' skip {sym}: {e}')
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print(f'Built {len(instruments)} instruments OK')
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# Quick vol_p60 from day 1
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btc = df0['BTCUSDT'].values
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vols = []
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for i in range(50, len(btc)):
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seg = btc[max(0, i-50):i]
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if len(seg) >= 10 and (seg > 0).all():
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v = float(np.std(np.diff(seg) / seg[:-1]))
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if np.isfinite(v) and v > 0:
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vols.append(v)
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vol_p60 = float(np.percentile(vols, 60)) if vols else 0.0002
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print(f'vol_p60 = {vol_p60:.8f}')
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all_dates = [f.stem for f in files]
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t0 = time.time()
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print(f'Running Day 1 ({files[0].stem}) in native mode...')
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r = run_one_day_native(files[0].stem, 25000.0, vol_p60, all_dates, asset_cols, instruments)
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elapsed = time.time() - t0
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print(f'Elapsed: {elapsed:.1f}s')
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print(f' naut_capital = {r["naut_capital"]:,.2f}')
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print(f' shadow_capital = {r["shadow_capital"]:,.2f}')
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print(f' pnl = {r["pnl"]:+,.2f}')
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print(f' trades = {r["trades"]}')
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print(f' recon = {r["recon"]}')
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print(f' error = {r.get("error", "none")}')
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