betfair_backtest_orderbook_imbalance.py

#!/usr/bin/env python3
# -------------------------------------------------------------------------------------------------
#  Copyright (C) 2015-2023 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.betfair.constants import BETFAIR_VENUE
from nautilus_trader.adapters.betfair.parsing.core import BetfairParser
from nautilus_trader.backtest.engine import BacktestEngine
from nautilus_trader.backtest.engine import BacktestEngineConfig
from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance
from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig
from nautilus_trader.model.currencies import GBP
from nautilus_trader.model.enums import AccountType
from nautilus_trader.model.enums import BookType
from nautilus_trader.model.enums import OmsType
from nautilus_trader.model.identifiers import ClientId
from nautilus_trader.model.objects import Money
from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider
from tests.integration_tests.adapters.betfair.test_kit import betting_instrument


if __name__ == "__main__":
    # Configure backtest engine
    config = BacktestEngineConfig(trader_id="BACKTESTER-001")

    # Build the backtest engine
    engine = BacktestEngine(config=config)

    # Add a trading venue (multiple venues possible)
    engine.add_venue(
        venue=BETFAIR_VENUE,
        oms_type=OmsType.NETTING,
        account_type=AccountType.CASH,  # Spot CASH account (not for perpetuals or futures)
        base_currency=GBP,  # Multi-currency account
        starting_balances=[Money(100_000, GBP)],
        book_type=BookType.L2_MBP,
    )

    # Add instruments
    instruments = [
        betting_instrument(
            market_id="1.166811431",
            selection_id="19248890",
            selection_handicap="0.0",
        ),
        betting_instrument(
            market_id="1.166811431",
            selection_id="38848248",
            selection_handicap="0.0",
        ),
    ]
    engine.add_instrument(instruments[0])
    engine.add_instrument(instruments[1])

    # Add data
    raw = list(BetfairDataProvider.market_updates())
    parser = BetfairParser()
    updates = [upd for update in raw for upd in parser.parse(update)]
    engine.add_data(updates, client_id=ClientId("BETFAIR"))

    # Configure your strategy
    strategies = [
        OrderBookImbalance(
            config=OrderBookImbalanceConfig(
                instrument_id=instrument.id.value,
                max_trade_size=Decimal(10),
                order_id_tag=instrument.selection_id,
            ),
        )
        for instrument in instruments
    ]
    engine.add_strategies(strategies)

    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(BETFAIR_VENUE))
        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()