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https://github.com/Ichinga-Samuel/aiomql.git
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Ichinga Samuel
141 lines
6.3 KiB
Python
141 lines
6.3 KiB
Python
from aiomql.contrib import BackTestEngine, ForexSymbol, GetData
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from aiomql.core import MetaBackTester
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from aiomql.lib import Order
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async def make_buy_sell_orders():
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sym = ForexSymbol(name='BTCUSD')
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sym_info = await sym.mt5.symbol_info(sym.name)
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dsl = (sym_info.trade_stops_level + sym_info.spread) * 2 * sym_info.point
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sl = sym_info.ask - dsl
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tp = sym_info.ask + dsl
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buy_req = {'action': sym.mt5.TRADE_ACTION_DEAL, 'symbol': sym.name, 'volume': sym_info.volume_min,
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'type': sym.mt5.ORDER_TYPE_BUY, 'price': sym_info.ask, 'sl': sl, 'tp': tp}
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sell_req = buy_req.copy()
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sell_req['type'] = sym.mt5.ORDER_TYPE_SELL
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sell_req['price'] = sym_info.bid
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del sell_req['tp']
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del sell_req['sl']
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return {'buy': Order(**buy_req), 'sell': Order(**sell_req)}
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def test_trade_mode(config, backtest_engine, history, positions, order_sell, order_buy, btc_usd):
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assert config.mode == 'backtest'
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assert isinstance(backtest_engine, BackTestEngine)
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assert isinstance(history.mt5, MetaBackTester)
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assert isinstance(positions.mt5, MetaBackTester)
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assert isinstance(order_sell.mt5, MetaBackTester)
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assert isinstance(order_buy.mt5, MetaBackTester)
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assert isinstance(btc_usd.mt5, MetaBackTester)
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async def test_order_send(backtest_engine, order_sell, order_buy):
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await backtest_engine.setup_account(balance=100)
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so = await backtest_engine.order_send(request=order_sell.request)
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bo = await backtest_engine.order_send(request=order_buy.request)
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assert so.retcode == 10009
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assert bo.retcode == 10009
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backtest_engine.reset(clear_data=True)
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async def test_positions(backtest_engine, positions, order_sell, order_buy):
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await backtest_engine.setup_account(balance=100)
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so = await backtest_engine.order_send(request=order_sell.request)
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bo = await backtest_engine.order_send(request=order_buy.request)
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all_positions = await positions.get_positions()
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assert len(all_positions) == 2
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await positions.close_position_by_ticket(ticket=so.order)
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all_positions = await positions.get_positions()
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assert len(all_positions) == 1
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await positions.close_position_by_ticket(ticket=bo.order)
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all_positions = await positions.get_positions()
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assert len(all_positions) == 0
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backtest_engine.reset(clear_data=True)
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async def test_history(backtest_engine, history, order_sell, order_buy, positions):
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await backtest_engine.setup_account(balance=100)
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so = await backtest_engine.order_send(request=order_sell.request)
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await backtest_engine.order_send(request=order_buy.request)
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await history.initialize()
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assert len(history.orders) == 2
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assert len(history.deals) == 2
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await positions.close_position_by_ticket(ticket=so.order)
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deals = await history.get_deals()
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assert len(deals) == 3
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backtest_engine.reset(clear_data=True)
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async def test_margin(backtest_engine, order_sell, order_buy):
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await backtest_engine.setup_account(balance=100)
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so_margin = await backtest_engine.order_calc_margin(action=order_sell.action, volume=order_sell.volume,
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symbol=order_sell.symbol, price=order_sell.price)
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bo_margin = await backtest_engine.order_calc_margin(action=order_buy.action, volume=order_buy.volume,
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symbol=order_buy.symbol, price=order_buy.price)
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total_margin = so_margin + bo_margin
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await backtest_engine.order_send(request=order_sell.request)
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await backtest_engine.order_send(request=order_buy.request)
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# noinspection PyTestUnpassedFixture
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assert backtest_engine.positions.margin == total_margin == backtest_engine._account.margin
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backtest_engine.reset(clear_data=True)
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async def test_account(backtest_engine, positions):
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await backtest_engine.setup_account(balance=100)
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backtest_engine.fast_forward(steps=100)
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balance = backtest_engine._account.balance
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equity = backtest_engine._account.equity
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orders = await make_buy_sell_orders()
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buy_order = orders['buy']
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sell_order = orders['sell']
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so = await backtest_engine.order_send(request=sell_order.request)
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bo = await backtest_engine.order_send(request=buy_order.request)
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backtest_engine.fast_forward(steps=22000)
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all_pos = await positions.get_positions()
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for _ in range(1000):
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backtest_engine.fast_forward(steps=1)
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await backtest_engine.tracker()
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all_pos = await positions.get_positions()
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if len(all_pos) == 1:
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break
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deal = backtest_engine.deals.history_deals_get(position=bo.order)
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bo_profit = deal[-1].profit
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assert len(all_pos) == 1
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assert backtest_engine.positions.margin == backtest_engine._account.margin == backtest_engine.positions.margins[so.order]
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profit = sum([pos.profit for pos in all_pos])
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n_balance = backtest_engine._account.balance
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n_equity = backtest_engine._account.equity
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assert backtest_engine._account.profit == profit
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assert n_balance == balance + bo_profit
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assert n_equity == equity + bo_profit + profit
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so_pos = await positions.get_position_by_ticket(ticket=so.order)
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gain = so_pos.profit
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await positions.close_position(position=so_pos)
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assert backtest_engine._account.balance == n_balance + gain
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backtest_engine.reset(clear_data=True)
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async def test_wrapup(positions, buy_order, sell_order, backtest_engine, config):
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await backtest_engine.setup_account(balance=100)
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backtest_engine.fast_forward(steps=500)
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bo = await backtest_engine.order_send(request=buy_order)
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await backtest_engine.order_send(request=sell_order)
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backtest_engine.fast_forward(steps=5000)
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await backtest_engine.tracker()
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await positions.close_position_by_ticket(ticket=bo.order)
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last_balance = backtest_engine._account.balance
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last_equity = backtest_engine._account.equity
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last_profit = backtest_engine._account.profit
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backtest_engine.wrap_up()
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tdata = GetData.load_data(name=config.backtest_dir / f'{backtest_engine.name}.pkl')
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new_bte = BackTestEngine(data=tdata, restart=False)
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assert new_bte._account.balance == last_balance
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assert new_bte._account.equity == last_equity
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assert new_bte._account.profit == last_profit
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assert new_bte.span == backtest_engine.span
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assert new_bte.range == backtest_engine.range
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assert new_bte.name == backtest_engine.name
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assert new_bte.cursor.time == backtest_engine.cursor.time
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