{ "cells": [ { "cell_type": "markdown", "id": "5e6e5d16", "metadata": {}, "source": [ "# Integrating Custom Data\n", "\n", "By combining your custom data with the feed data (order book and trades), you can enhance your strategy while harnessing the full potential of hftbacktest." ] }, { "cell_type": "markdown", "id": "47864a60", "metadata": {}, "source": [ "## Accessing Spot Price\n", "\n", "In this example, we'll combine the spot BTCUSDT mid-price with the USDM-Futures BTCUSDT feed data. This will enable you to estimate the fair value price, taking the underlying price into consideration.\n", "\n", "The spot data is used only in the local-side, and thus, should come with a local timestamp. Following this, in your backtesting logic, your task is to identify the most recent data that predates the current timestamp." ] }, { "cell_type": "markdown", "id": "3bd2277d", "metadata": {}, "source": [ "The raw spot feed is processed to create spot data, which includes both a local timestamp and the spot mid price." ] }, { "cell_type": "code", "execution_count": 1, "id": "b5b2a572", "metadata": {}, "outputs": [], "source": [ "import numpy as np\n", "import gzip\n", "import json\n", "\n", "spot = np.full((100_000, 2), np.nan, np.float64)\n", "i = 0\n", "\n", "with gzip.open('spot/btcusdt_20240809.gz', 'r') as f:\n", " while True:\n", " line = f.readline()\n", " if line is None or line == b'':\n", " break\n", "\n", " line = line.decode().strip()\n", " local_timestamp = int(line[:19])\n", "\n", " obj = json.loads(line[20:])\n", " if obj['stream'] == 'btcusdt@bookTicker':\n", " data = obj['data']\n", " mid = (float(data['b']) + float(data['a'])) / 2.0\n", " spot[i] = [local_timestamp, mid]\n", " i += 1\n", " \n", "spot = spot[:i]" ] }, { "cell_type": "markdown", "id": "09180f41", "metadata": {}, "source": [ "It displays the basis and spot mid price as it identifies the latest Point-in-Time data that falls before the current timestamp." ] }, { "cell_type": "code", "execution_count": 2, "id": "d9bab818", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "current_timestamp: 1723161602500000000 futures_mid: 61659.85 , spot_mid: 61688.0 , basis: -28.14\n", "current_timestamp: 1723161612500000000 futures_mid: 61713.95 , spot_mid: 61727.8 , basis: -13.85\n", "current_timestamp: 1723161622500000000 futures_mid: 61713.45 , spot_mid: 61728.94 , basis: -15.5\n", "current_timestamp: 1723161632500000000 futures_mid: 61666.05 , spot_mid: 61690.08 , basis: -24.02\n", "current_timestamp: 1723161642500000000 futures_mid: 61638.45 , spot_mid: 61661.5 , basis: -23.06\n", "current_timestamp: 1723161652500000000 futures_mid: 61632.05 , spot_mid: 61663.98 , basis: -31.93\n", "current_timestamp: 1723161662500000000 futures_mid: 61578.15 , spot_mid: 61600.0 , basis: -21.85\n", "current_timestamp: 1723161672500000000 futures_mid: 61524.25 , spot_mid: 61562.0 , basis: -37.74\n", "current_timestamp: 1723161682500000000 futures_mid: 61552.45 , spot_mid: 61570.0 , basis: -17.54\n", "current_timestamp: 1723161692500000000 futures_mid: 61593.05 , spot_mid: 61606.0 , basis: -12.96\n", "current_timestamp: 1723161702500000000 futures_mid: 61587.45 , spot_mid: 61608.0 , basis: -20.54\n", "current_timestamp: 1723161712500000000 futures_mid: 61561.15 , spot_mid: 61589.88 , basis: -28.73\n", "current_timestamp: 1723161722500000000 futures_mid: 61589.95 , spot_mid: 61614.08 , basis: -24.14\n", "current_timestamp: 1723161732500000000 futures_mid: 61608.95 , spot_mid: 61632.13 , basis: -23.18\n", "current_timestamp: 1723161742500000000 futures_mid: 61653.45 , spot_mid: 61681.74 , basis: -28.29\n", "current_timestamp: 1723161752500000000 futures_mid: 61673.45 , spot_mid: 61700.0 , basis: -26.54\n", "current_timestamp: 1723161762500000000 futures_mid: 61663.95 , spot_mid: 61683.84 , basis: -19.89\n", "current_timestamp: 1723161772500000000 futures_mid: 61640.85 , spot_mid: 61664.0 , basis: -23.15\n", "current_timestamp: 1723161782500000000 futures_mid: 61634.15 , spot_mid: 61654.0 , basis: -19.85\n", "current_timestamp: 1723161792500000000 futures_mid: 61618.05 , spot_mid: 61666.0 , basis: -47.94\n", "current_timestamp: 1723161802500000000 futures_mid: 61626.65 , spot_mid: 61648.34 , basis: -21.69\n", "current_timestamp: 1723161812500000000 futures_mid: 61586.25 , spot_mid: 61612.0 , basis: -25.74\n", "current_timestamp: 1723161822500000000 futures_mid: 61624.65 , spot_mid: 61649.98 , basis: -25.33\n", "current_timestamp: 1723161832500000000 futures_mid: 61611.55 , spot_mid: 61644.0 , basis: -32.46\n", "current_timestamp: 1723161842500000000 futures_mid: 61633.95 , spot_mid: 61658.4 , basis: -24.46\n", "current_timestamp: 1723161852500000000 futures_mid: 61635.95 , spot_mid: 61656.02 , basis: -20.07\n", "current_timestamp: 1723161862500000000 futures_mid: 61671.45 , spot_mid: 61689.92 , basis: -18.47\n", "current_timestamp: 1723161872500000000 futures_mid: 61651.55 , spot_mid: 61664.0 , basis: -12.46\n", "current_timestamp: 1723161882500000000 futures_mid: 61614.15 , spot_mid: 61640.0 , basis: -25.84\n", "current_timestamp: 1723161892500000000 futures_mid: 61605.95 , spot_mid: 61622.12 , basis: -16.18\n", "current_timestamp: 1723161902500000000 futures_mid: 61583.95 , spot_mid: 61607.98 , basis: -24.04\n" ] } ], "source": [ "from numba import njit\n", "from hftbacktest import BacktestAsset, HashMapMarketDepthBacktest\n", "\n", "out_dtype = np.dtype([('timestamp', 'i8'), ('mid_price', 'f8'), ('spot_mid_price', 'f8')])\n", "\n", "@njit\n", "def print_basis(hbt, spot):\n", " out = np.empty(1_000_000, out_dtype)\n", "\n", " t = 0\n", " spot_row = 0\n", " \n", " # Checks every 60-sec (in nanoseconds)\n", " while hbt.elapse(1_000_000_000) == 0:\n", " # Finds the latest spot mid value.\n", " while spot_row < len(spot) and spot[spot_row, 0] <= hbt.current_timestamp:\n", " spot_row += 1\n", " spot_mid_price = spot[spot_row - 1, 1] if spot_row > 0 else np.nan\n", "\n", " depth = hbt.depth(0)\n", " \n", " mid_price = (depth.best_bid + depth.best_ask) / 2.0\n", " basis = mid_price - spot_mid_price\n", "\n", " if t % 10 == 0:\n", " print(\n", " 'current_timestamp:',\n", " hbt.current_timestamp,\n", " 'futures_mid:',\n", " round(mid_price, 2),\n", " ', spot_mid:',\n", " round(spot_mid_price, 2),\n", " ', basis:',\n", " round(basis, 2)\n", " )\n", "\n", " out[t].timestamp = hbt.current_timestamp\n", " out[t].mid_price = mid_price\n", " out[t].spot_mid_price = spot_mid_price\n", " t += 1\n", " \n", " return out[:t]\n", "\n", "asset = (\n", " BacktestAsset()\n", " .data(['usdm/btcusdt_20240809.npz'])\n", " .initial_snapshot('usdm/btcusdt_20240808_eod.npz')\n", " .linear_asset(1.0) \n", " .constant_latency(10_000_000, 10_000_000)\n", " .risk_adverse_queue_model() \n", " .no_partial_fill_exchange()\n", " .trading_value_fee_model(0.0002, 0.0007)\n", " .tick_size(0.1)\n", " .lot_size(0.001)\n", ")\n", "\n", "hbt = HashMapMarketDepthBacktest([asset])\n", "\n", "out = print_basis(hbt, spot)\n", "\n", "_ = hbt.close()" ] }, { "cell_type": "code", "execution_count": 3, "id": "0f18afc8-fd2d-4185-9094-dd7a1027ebf8", "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "(function(root) {\n", " function now() {\n", " return new Date();\n", " }\n", "\n", " var force = true;\n", " var py_version = '3.4.2'.replace('rc', '-rc.').replace('.dev', '-dev.');\n", " var reloading = false;\n", " var Bokeh = root.Bokeh;\n", "\n", " if (typeof (root._bokeh_timeout) === \"undefined\" || force) {\n", " root._bokeh_timeout = Date.now() + 5000;\n", " root._bokeh_failed_load = false;\n", " }\n", "\n", " function run_callbacks() {\n", " try {\n", " root._bokeh_onload_callbacks.forEach(function(callback) {\n", " if (callback != null)\n", " callback();\n", " });\n", " } finally {\n", " delete root._bokeh_onload_callbacks;\n", " }\n", " console.debug(\"Bokeh: all callbacks have finished\");\n", " }\n", "\n", " function load_libs(css_urls, js_urls, js_modules, js_exports, callback) {\n", " if (css_urls == null) css_urls = [];\n", " if (js_urls == null) js_urls = [];\n", " if (js_modules == null) js_modules = [];\n", " if (js_exports == null) js_exports = {};\n", "\n", " root._bokeh_onload_callbacks.push(callback);\n", "\n", " if (root._bokeh_is_loading > 0) {\n", " console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n", " return null;\n", " }\n", " if (js_urls.length === 0 && js_modules.length === 0 && Object.keys(js_exports).length === 0) {\n", " run_callbacks();\n", " return null;\n", " }\n", " if (!reloading) {\n", " console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n", " }\n", "\n", " function on_load() {\n", " root._bokeh_is_loading--;\n", " if (root._bokeh_is_loading === 0) {\n", " console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n", " run_callbacks()\n", " }\n", " }\n", " window._bokeh_on_load = on_load\n", "\n", " function on_error() {\n", " console.error(\"failed to load \" + url);\n", " }\n", "\n", " var skip = [];\n", " if (window.requirejs) {\n", " window.requirejs.config({'packages': {}, 'paths': {}, 'shim': {}});\n", " root._bokeh_is_loading = css_urls.length + 0;\n", " } else {\n", " root._bokeh_is_loading = css_urls.length + js_urls.length + js_modules.length + Object.keys(js_exports).length;\n", " }\n", "\n", " var existing_stylesheets = []\n", " var links = document.getElementsByTagName('link')\n", " for (var i = 0; i < links.length; i++) {\n", " var link = links[i]\n", " if (link.href != null) {\n", "\texisting_stylesheets.push(link.href)\n", " }\n", " }\n", " for (var i = 0; i < css_urls.length; i++) {\n", " var url = css_urls[i];\n", " if (existing_stylesheets.indexOf(url) !== -1) {\n", "\ton_load()\n", "\tcontinue;\n", " }\n", " const element = document.createElement(\"link\");\n", " element.onload = on_load;\n", " element.onerror = on_error;\n", " element.rel = \"stylesheet\";\n", " element.type = \"text/css\";\n", " element.href = url;\n", " console.debug(\"Bokeh: injecting link tag for BokehJS stylesheet: \", url);\n", " document.body.appendChild(element);\n", " } var existing_scripts = []\n", " var scripts = document.getElementsByTagName('script')\n", " for (var i = 0; i < scripts.length; i++) {\n", " var script = scripts[i]\n", " if (script.src != null) {\n", "\texisting_scripts.push(script.src)\n", " }\n", " }\n", " for (var i = 0; i < js_urls.length; i++) {\n", " var url = js_urls[i];\n", " if (skip.indexOf(url) !== -1 || existing_scripts.indexOf(url) !== -1) {\n", "\tif (!window.requirejs) {\n", "\t on_load();\n", "\t}\n", "\tcontinue;\n", " }\n", " var element = document.createElement('script');\n", " element.onload = on_load;\n", " element.onerror = on_error;\n", " element.async = false;\n", " element.src = url;\n", " console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n", " document.head.appendChild(element);\n", " }\n", " for (var i = 0; i < js_modules.length; i++) {\n", " var url = js_modules[i];\n", " if (skip.indexOf(url) !== -1 || existing_scripts.indexOf(url) !== -1) {\n", "\tif (!window.requirejs) {\n", "\t on_load();\n", "\t}\n", "\tcontinue;\n", " }\n", " var element = document.createElement('script');\n", " element.onload = on_load;\n", " element.onerror = on_error;\n", " element.async = false;\n", " element.src = url;\n", " element.type = \"module\";\n", " console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n", " document.head.appendChild(element);\n", " }\n", " for (const name in js_exports) {\n", " var url = js_exports[name];\n", " if (skip.indexOf(url) >= 0 || root[name] != null) {\n", "\tif (!window.requirejs) {\n", "\t on_load();\n", "\t}\n", "\tcontinue;\n", " }\n", " var element = document.createElement('script');\n", " element.onerror = on_error;\n", " element.async = false;\n", " element.type = \"module\";\n", " console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n", " element.textContent = `\n", " import ${name} from \"${url}\"\n", " window.${name} = ${name}\n", " window._bokeh_on_load()\n", " `\n", " document.head.appendChild(element);\n", " }\n", " if (!js_urls.length && !js_modules.length) {\n", " on_load()\n", " }\n", " };\n", "\n", " function inject_raw_css(css) {\n", " const element = document.createElement(\"style\");\n", " element.appendChild(document.createTextNode(css));\n", " document.body.appendChild(element);\n", " }\n", "\n", " var js_urls = [\"https://cdn.bokeh.org/bokeh/release/bokeh-3.4.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-gl-3.4.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-widgets-3.4.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-tables-3.4.2.min.js\", \"https://cdn.holoviz.org/panel/1.4.4/dist/panel.min.js\"];\n", " var js_modules = [];\n", " var js_exports = {};\n", " var css_urls = [];\n", " var inline_js = [ function(Bokeh) {\n", " Bokeh.set_log_level(\"info\");\n", " },\n", "function(Bokeh) {} // ensure no trailing comma for IE\n", " ];\n", "\n", " function run_inline_js() {\n", " if ((root.Bokeh !== undefined) || (force === true)) {\n", " for (var i = 0; i < inline_js.length; i++) {\n", "\ttry {\n", " inline_js[i].call(root, root.Bokeh);\n", "\t} catch(e) {\n", "\t if (!reloading) {\n", "\t throw e;\n", "\t }\n", "\t}\n", " }\n", " // Cache old bokeh versions\n", " if (Bokeh != undefined && !reloading) {\n", "\tvar NewBokeh = root.Bokeh;\n", "\tif (Bokeh.versions === undefined) {\n", "\t Bokeh.versions = new Map();\n", "\t}\n", "\tif (NewBokeh.version !== Bokeh.version) {\n", "\t Bokeh.versions.set(NewBokeh.version, NewBokeh)\n", "\t}\n", "\troot.Bokeh = Bokeh;\n", " }} else if (Date.now() < root._bokeh_timeout) {\n", " setTimeout(run_inline_js, 100);\n", " } else if (!root._bokeh_failed_load) {\n", " console.log(\"Bokeh: BokehJS failed to load within specified timeout.\");\n", " root._bokeh_failed_load = true;\n", " }\n", " root._bokeh_is_initializing = false\n", " }\n", "\n", " function load_or_wait() {\n", " // Implement a backoff loop that tries to ensure we do not load multiple\n", " // versions of Bokeh and its dependencies at the same time.\n", " // In recent versions we use the root._bokeh_is_initializing flag\n", " // to determine whether there is an ongoing attempt to initialize\n", " // bokeh, however for backward compatibility we also try to ensure\n", " // that we do not start loading a newer (Panel>=1.0 and Bokeh>3) version\n", " // before older versions are fully initialized.\n", " if (root._bokeh_is_initializing && Date.now() > root._bokeh_timeout) {\n", " root._bokeh_is_initializing = false;\n", " root._bokeh_onload_callbacks = undefined;\n", " console.log(\"Bokeh: BokehJS was loaded multiple times but one version failed to initialize.\");\n", " load_or_wait();\n", " } else if (root._bokeh_is_initializing || (typeof root._bokeh_is_initializing === \"undefined\" && root._bokeh_onload_callbacks !== undefined)) {\n", " setTimeout(load_or_wait, 100);\n", " } else {\n", " root._bokeh_is_initializing = true\n", " root._bokeh_onload_callbacks = []\n", " var bokeh_loaded = Bokeh != null && (Bokeh.version === py_version || (Bokeh.versions !== undefined && Bokeh.versions.has(py_version)));\n", " if (!reloading && !bokeh_loaded) {\n", "\troot.Bokeh = undefined;\n", " }\n", " load_libs(css_urls, js_urls, js_modules, js_exports, function() {\n", "\tconsole.debug(\"Bokeh: BokehJS plotting callback run at\", now());\n", "\trun_inline_js();\n", " });\n", " }\n", " }\n", " // Give older versions of the autoload script a head-start to ensure\n", " // they initialize before we start loading newer version.\n", " setTimeout(load_or_wait, 100)\n", "}(window));" ], "application/vnd.holoviews_load.v0+json": "(function(root) {\n function now() {\n return new Date();\n }\n\n var force = true;\n var py_version = '3.4.2'.replace('rc', '-rc.').replace('.dev', '-dev.');\n var reloading = false;\n var Bokeh = root.Bokeh;\n\n if (typeof (root._bokeh_timeout) === \"undefined\" || force) {\n root._bokeh_timeout = Date.now() + 5000;\n root._bokeh_failed_load = false;\n }\n\n function run_callbacks() {\n try {\n root._bokeh_onload_callbacks.forEach(function(callback) {\n if (callback != null)\n callback();\n });\n } finally {\n delete root._bokeh_onload_callbacks;\n }\n console.debug(\"Bokeh: all callbacks have finished\");\n }\n\n function load_libs(css_urls, js_urls, js_modules, js_exports, callback) {\n if (css_urls == null) css_urls = [];\n if (js_urls == null) js_urls = [];\n if (js_modules == null) js_modules = [];\n if (js_exports == null) js_exports = {};\n\n root._bokeh_onload_callbacks.push(callback);\n\n if (root._bokeh_is_loading > 0) {\n console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n return null;\n }\n if (js_urls.length === 0 && js_modules.length === 0 && Object.keys(js_exports).length === 0) {\n run_callbacks();\n return null;\n }\n if (!reloading) {\n console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n }\n\n function on_load() {\n root._bokeh_is_loading--;\n if (root._bokeh_is_loading === 0) {\n console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n run_callbacks()\n }\n }\n window._bokeh_on_load = on_load\n\n function on_error() {\n console.error(\"failed to load \" + url);\n }\n\n var skip = [];\n if (window.requirejs) {\n window.requirejs.config({'packages': {}, 'paths': {}, 'shim': {}});\n root._bokeh_is_loading = css_urls.length + 0;\n } else {\n root._bokeh_is_loading = css_urls.length + js_urls.length + js_modules.length + Object.keys(js_exports).length;\n }\n\n var existing_stylesheets = []\n var links = document.getElementsByTagName('link')\n for (var i = 0; i < links.length; i++) {\n var link = links[i]\n if (link.href != null) {\n\texisting_stylesheets.push(link.href)\n }\n }\n for (var i = 0; i < css_urls.length; i++) {\n var url = css_urls[i];\n if (existing_stylesheets.indexOf(url) !== -1) {\n\ton_load()\n\tcontinue;\n }\n const element = document.createElement(\"link\");\n element.onload = on_load;\n element.onerror = on_error;\n element.rel = \"stylesheet\";\n element.type = \"text/css\";\n element.href = url;\n console.debug(\"Bokeh: injecting link tag for BokehJS stylesheet: \", url);\n document.body.appendChild(element);\n } var existing_scripts = []\n var scripts = document.getElementsByTagName('script')\n for (var i = 0; i < scripts.length; i++) {\n var script = scripts[i]\n if (script.src != null) {\n\texisting_scripts.push(script.src)\n }\n }\n for (var i = 0; i < js_urls.length; i++) {\n var url = js_urls[i];\n if (skip.indexOf(url) !== -1 || existing_scripts.indexOf(url) !== -1) {\n\tif (!window.requirejs) {\n\t on_load();\n\t}\n\tcontinue;\n }\n var element = document.createElement('script');\n element.onload = on_load;\n element.onerror = on_error;\n element.async = false;\n element.src = url;\n console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n document.head.appendChild(element);\n }\n for (var i = 0; i < js_modules.length; i++) {\n var url = js_modules[i];\n if (skip.indexOf(url) !== -1 || existing_scripts.indexOf(url) !== -1) {\n\tif (!window.requirejs) {\n\t on_load();\n\t}\n\tcontinue;\n }\n var element = document.createElement('script');\n element.onload = on_load;\n element.onerror = on_error;\n element.async = false;\n element.src = url;\n element.type = \"module\";\n console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n document.head.appendChild(element);\n }\n for (const name in js_exports) {\n var url = js_exports[name];\n if (skip.indexOf(url) >= 0 || root[name] != null) {\n\tif (!window.requirejs) {\n\t on_load();\n\t}\n\tcontinue;\n }\n var element = document.createElement('script');\n element.onerror = on_error;\n element.async = false;\n element.type = \"module\";\n console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n element.textContent = `\n import ${name} from \"${url}\"\n window.${name} = ${name}\n window._bokeh_on_load()\n `\n document.head.appendChild(element);\n }\n if (!js_urls.length && !js_modules.length) {\n on_load()\n }\n };\n\n function inject_raw_css(css) {\n const element = document.createElement(\"style\");\n element.appendChild(document.createTextNode(css));\n document.body.appendChild(element);\n }\n\n var js_urls = [\"https://cdn.bokeh.org/bokeh/release/bokeh-3.4.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-gl-3.4.2.min.js\", 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