Add EMACrossLongOnly AAPL.XNAS bars example

examples/backtest/databento_ema_cross_long_only_aapl_bars.py

@@ -0,0 +1,116 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 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.databento.loaders import DatabentoDataLoader
+from nautilus_trader.backtest.engine import BacktestEngine
+from nautilus_trader.backtest.engine import BacktestEngineConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.config import RiskEngineConfig
+from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnly
+from nautilus_trader.examples.strategies.ema_cross_long_only import EMACrossLongOnlyConfig
+from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.data import BarType
+from nautilus_trader.model.enums import AccountType
+from nautilus_trader.model.enums import OmsType
+from nautilus_trader.model.identifiers import TraderId
+from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.objects import Money
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
+from tests import TEST_DATA_DIR
+
+
+if __name__ == "__main__":
+    # Configure backtest engine
+    config = BacktestEngineConfig(
+        trader_id=TraderId("BACKTESTER-001"),
+        logging=LoggingConfig(log_level="INFO"),
+        risk_engine=RiskEngineConfig(bypass=True),
+    )
+
+    # Build the backtest engine
+    engine = BacktestEngine(config=config)
+
+    # Add a trading venue (multiple venues possible)
+    NASDAQ = Venue("XNAS")  # <-- ISO 10383 MIC
+    engine.add_venue(
+        venue=NASDAQ,
+        oms_type=OmsType.NETTING,
+        account_type=AccountType.CASH,
+        base_currency=USD,
+        starting_balances=[Money(1_000_000.0, USD)],
+    )
+
+    # Add instruments
+    AAPL_XNAS = TestInstrumentProvider.equity(symbol="AAPL", venue="XNAS")
+    engine.add_instrument(AAPL_XNAS)
+
+    # Add data
+    loader = DatabentoDataLoader()
+
+    filenames = [
+        "aapl-xnas-ohlcv-1s-2023.dbn.zst",  # <-- Longer load and run time / more accurate execution
+        "aapl-xnas-ohlcv-1m-2023.dbn.zst",
+    ]
+
+    for filename in filenames:
+        bars = loader.from_dbn_file(
+            path=TEST_DATA_DIR / "databento" / "temp" / filename,
+            instrument_id=AAPL_XNAS.id,
+        )
+        engine.add_data(bars)
+
+    # Configure your strategy
+    config = EMACrossLongOnlyConfig(
+        instrument_id=AAPL_XNAS.id,
+        bar_type=BarType.from_str(f"{AAPL_XNAS.id}-1-MINUTE-LAST-EXTERNAL"),
+        trade_size=Decimal(100),
+        fast_ema_period=10,
+        slow_ema_period=20,
+    )
+
+    # Instantiate and add your strategy
+    strategy = EMACrossLongOnly(config=config)
+    engine.add_strategy(strategy=strategy)
+
+    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(NASDAQ))
+        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()

examples/backtest/databento_ema_cross_long_only_spy_trades.py

@@ -40,10 +40,7 @@
     # Configure backtest engine
     config = BacktestEngineConfig(
         trader_id=TraderId("BACKTESTER-001"),
-        logging=LoggingConfig(
-            log_level="INFO",
-            log_colors=True,
-        ),
+        logging=LoggingConfig(log_level="INFO"),
     )
 
     # Build the backtest engine

examples/backtest/databento_ema_cross_long_only_tsla_trades.py

@@ -40,10 +40,7 @@
     # Configure backtest engine
     config = BacktestEngineConfig(
         trader_id=TraderId("BACKTESTER-001"),
-        logging=LoggingConfig(
-            log_level="INFO",
-            log_colors=True,
-        ),
+        logging=LoggingConfig(log_level="INFO"),
     )
 
     # Build the backtest engine
@@ -83,7 +80,7 @@
     config = EMACrossLongOnlyConfig(
         instrument_id=TSLA_NYSE.id,
         bar_type=BarType.from_str(f"{TSLA_NYSE.id}-1-MINUTE-LAST-INTERNAL"),
-        trade_size=Decimal(500),
+        trade_size=Decimal(1000),
         fast_ema_period=10,
         slow_ema_period=20,
     )