mirror of
https://github.com/Ichinga-Samuel/aiomql.git
synced 2026-08-05 16:27:44 +00:00
Ichinga Samuel
270 lines
11 KiB
Python
270 lines
11 KiB
Python
from datetime import datetime, UTC
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from aiomql import TimeFrame
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from aiomql.contrib.backtesting import BackTestEngine
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from aiomql.contrib.backtesting.get_data import GetData
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from aiomql._utils import round_down
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from aiomql.core.constants import OrderType, TradeAction
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import pytest
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class TestBackTestEngine:
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@classmethod
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def setup_class(cls):
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cls.start = datetime(2024, 2, 1)
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cls.end = datetime(2024, 2, 7)
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cls.g_data = GetData(start=cls.start, end=cls.end, symbols=['BTCUSD', 'SOLUSD'],
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timeframes=[TimeFrame.H1, TimeFrame.H2], name='test_engine')
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cls.bte = BackTestEngine(start=cls.start, end=cls.end)
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@pytest.fixture(scope='class')
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async def bte2(self):
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await self.g_data.get_data()
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bte2 = BackTestEngine(start=self.start, end=self.end, data=self.g_data.data, use_terminal=False)
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await bte2.setup_account(balance=100)
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return bte2
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@pytest.fixture(scope='class')
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async def sell_order(self):
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sym = await self.bte.get_symbol_info(symbol='BTCUSD')
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request = {'type': OrderType.SELL, 'symbol': 'BTCUSD', 'volume': sym.volume_min,
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'price': sym.bid, 'action': TradeAction.DEAL}
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return request
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@pytest.fixture(scope='class')
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async def buy_order(self):
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sym = await self.bte.get_symbol_info(symbol='BTCUSD')
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dsl = (sym.trade_stops_level + sym.spread) * 2 * sym.point
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sl = sym.ask - dsl
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tp = sym.ask + dsl
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request = {'type': OrderType.BUY, 'symbol': 'BTCUSD', 'volume': sym.volume_min,
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'price': sym.ask, 'action': TradeAction.DEAL, 'sl': sl, 'tp': tp}
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return request
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def modify_stops(self, order):
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...
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def test_span_and_range(self):
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assert self.bte.range == range(0, int((self.end - self.start).total_seconds()), self.bte.speed)
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assert self.bte.span == range(int(self.start.timestamp()), int(self.end.timestamp()), self.bte.speed)
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assert len(self.bte.span) == len(self.bte.range)
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def test_cursor(self):
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self.bte.next()
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r, t = self.bte.cursor
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self.bte.fast_forward(steps=100)
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assert self.bte.cursor.time == t + 100
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assert self.bte.cursor.index == r + 100
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go_to = datetime(2024, 2, 3, tzinfo=UTC)
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self.bte.go_to(time=go_to)
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assert self.bte.cursor.time == int(datetime.timestamp(go_to))
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self.bte.reset()
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assert self.bte.cursor.time == int(self.start.timestamp())
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def test_speed(self):
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self.bte.setup_test_range(start=self.start, end=self.end, speed=3600)
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assert self.bte.speed == 3600
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self.bte.next()
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now = datetime.fromtimestamp(self.bte.cursor.time, tz=UTC)
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index = self.bte.cursor.index
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self.bte.next()
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assert self.bte.cursor.index == index + 3600
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assert self.bte.cursor.time == int(now.timestamp()) + 3600
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self.bte.setup_test_range(start=self.start, end=self.end)
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assert self.bte.speed == 1
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async def test_account(self):
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await self.bte.setup_account(balance=100)
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acc = self.bte.get_account_info()
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self.bte.use_terminal_for_backtesting = False
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self.bte.use_terminal_for_backtesting = True
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assert acc.balance == 100
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assert acc.equity == 100
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assert acc.margin == 0
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assert acc.margin_free == 100
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assert acc.margin_level == 0
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self.bte.deposit(amount=50)
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acc = self.bte.get_account_info()
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assert acc.balance == 150
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assert acc.equity == 150
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assert acc.margin == 0
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assert acc.margin_free == 150
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assert acc.margin_level == 0
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self.bte.withdraw(amount=80)
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acc = self.bte.get_account_info()
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assert acc.balance == 70
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assert acc.equity == 70
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assert acc.margin == 0
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assert acc.margin_free == 70
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assert acc.margin_level == 0
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self.bte.update_account(profit=-5)
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acc = self.bte.get_account_info()
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assert acc.equity == 65
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assert acc.balance == 70
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assert acc.profit == -5
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assert acc.margin == 0
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assert acc.margin_free == 65
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assert acc.margin_level == 0
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self.bte.update_account(margin=2.5)
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acc = self.bte.get_account_info()
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assert acc.balance == 70
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assert acc.equity == 65
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assert acc.margin == 2.5
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assert acc.margin_free == 62.5
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assert acc.margin_level == 2600
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async def test_bte2_init(self, bte2):
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assert bte2._data.fully_loaded is True
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assert bte2.span == self.bte.span
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assert bte2.range == self.bte.range
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assert bte2.use_terminal is False
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async def test_get_rates_from(self):
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start = datetime(2024, 2, 3, 12, 43, tzinfo=UTC)
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rates = await self.bte.get_rates_from(symbol='BTCUSD', timeframe=TimeFrame.H1, date_from=start, count=24)
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assert len(rates) == 24
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async def test_get_rates_from_2(self, bte2):
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start = datetime(2024, 2, 3, 12, 12, tzinfo=UTC)
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rates = await bte2.get_rates_from(symbol='BTCUSD', timeframe=TimeFrame.H1, date_from=start, count=24)
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assert len(rates) == 24
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async def test_get_rates_from_pos(self):
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now = datetime(2024, 2, 3, 11, 55, tzinfo=UTC)
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self.bte.go_to(time=now)
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tf = TimeFrame.H2
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start_pos = 2
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rates = await self.bte.get_rates_from_pos(symbol='BTCUSD', timeframe=tf, start_pos=start_pos, count=24)
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assert int(rates[-1][0]) == round_down(int(now.replace(hour=7).timestamp()), tf.seconds)
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assert len(rates) == 24
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async def test_get_rates_from_pos2(self, bte2):
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now = datetime(2024, 2, 4, 12, 15, tzinfo=UTC)
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bte2.go_to(time=now)
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tf = TimeFrame.H1
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start_pos = 2
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rates = await bte2.get_rates_from_pos(symbol='BTCUSD', timeframe=tf, start_pos=start_pos, count=24)
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assert int(rates[-1][0]) == round_down(int(now.replace(hour=10).timestamp()), tf.seconds)
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# assert int(rates[-1][0]) == round_up(int(now.timestamp()), tf.seconds) - start_pos * tf.seconds
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assert len(rates) == 24
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async def test_get_rates_range(self):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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end = datetime(2024, 2, 4, 18, tzinfo=UTC)
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rates = await self.bte.get_rates_range(symbol="BTCUSD", timeframe=TimeFrame.H1, date_from=start, date_to=end)
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assert len(rates) == 31
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assert int(rates[-1][0]) == int(end.timestamp())
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async def test_get_rates_range2(self, bte2):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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end = datetime(2024, 2, 4, 18, tzinfo=UTC)
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rates = await bte2.get_rates_range(symbol="BTCUSD", timeframe=TimeFrame.H1, date_from=start, date_to=end)
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assert len(rates) == 31
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assert int(rates[-1][0]) == int(end.timestamp())
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async def test_get_ticks_from(self):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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ticks = await self.bte.get_ticks_from(symbol='BTCUSD', date_from=start, count=24)
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assert len(ticks) == 24
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async def test_get_ticks_from2(self, bte2):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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ticks = await bte2.get_ticks_from(symbol='BTCUSD', date_from=start, count=24)
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assert len(ticks) == 24
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async def test_get_ticks_range(self):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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end = datetime(2024, 2, 3, 15, tzinfo=UTC)
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ticks = await self.bte.get_ticks_range(symbol="BTCUSD", date_from=start, date_to=end)
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approx_total = (end - start).total_seconds() // 2 # assuming 2 ticks per second at least
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assert len(ticks) >= approx_total
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async def test_get_ticks_range2(self, bte2):
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start = datetime(2024, 2, 3, 12, tzinfo=UTC)
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end = datetime(2024, 2, 3, 15, tzinfo=UTC)
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ticks = await bte2.get_ticks_range(symbol="BTCUSD", date_from=start, date_to=end)
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approx_total = (end - start).total_seconds() // 2 # assuming 2 ticks per second at least
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assert len(ticks) >= approx_total
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async def test_price_tick(self, bte2):
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moment = datetime(2024, 2, 3, 12, 12, tzinfo=UTC)
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self.bte.reset()
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self.bte.go_to(time=moment)
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tick = await self.bte.get_price_tick(symbol='BTCUSD', time=self.bte.cursor.time)
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assert tick is not None
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assert isinstance(tick.ask, float)
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assert tick.ask > 0
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bte2.reset()
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bte2.go_to(time=moment)
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tick2 = await bte2.get_price_tick(symbol='BTCUSD', time=bte2.cursor.time)
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assert tick.ask == tick2.ask
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async def test_get_symbol_info(self, bte2):
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moment = datetime(2024, 2, 3, 12, 12, tzinfo=UTC)
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self.bte.reset()
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self.bte.go_to(time=moment)
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bte2.reset()
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bte2.go_to(time=moment)
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sym = 'BTCUSD'
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sym_info = await self.bte.get_symbol_info(symbol=sym)
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assert sym_info is not None
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assert sym_info.name == sym
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sym_info2 = await bte2.get_symbol_info(symbol=sym)
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assert sym_info.ask == sym_info2.ask
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async def test_order_profit(self, bte2):
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moment = datetime(2024, 2, 3, 12, 12, tzinfo=UTC)
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self.bte.reset()
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self.bte.go_to(time=moment)
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bte2.reset()
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bte2.go_to(time=moment)
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sym = 'BTCUSD'
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sym_info = await self.bte.get_symbol_info(symbol=sym)
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dsl = (sym_info.trade_stops_level + sym_info.spread) * 2 * sym_info.point
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tp = sym_info.ask + dsl
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profit = await self.bte.order_calc_profit(action=OrderType.BUY, symbol=sym,
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volume=sym_info.volume_min, price_open=sym_info.ask,
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price_close=tp)
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assert profit > 0
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sym_info2 = await bte2.get_symbol_info(symbol=sym)
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dsl2 = (sym_info2.trade_stops_level + sym_info2.spread) * 2 * sym_info2.point
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tp2 = sym_info2.ask + dsl2
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profit2 = await bte2.order_calc_profit(action=OrderType.BUY, symbol=sym,
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volume=sym_info2.volume_min, price_open=sym_info2.ask,
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price_close=tp2)
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assert profit == profit2
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async def test_order_margin(self, bte2):
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moment = datetime(2024, 2, 3, 12, 12, tzinfo=UTC)
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self.bte.reset()
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self.bte.go_to(time=moment)
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bte2.reset()
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bte2.go_to(time=moment)
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sym = 'BTCUSD'
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sym_info = await self.bte.get_symbol_info(symbol=sym)
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margin = await self.bte.order_calc_margin(action=OrderType.SELL, symbol=sym,
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volume=sym_info.volume_min, price=sym_info.bid)
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assert margin > 0
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sym_info2 = await self.bte.get_symbol_info(symbol=sym)
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margin2 = await bte2.order_calc_margin(action=OrderType.SELL, symbol=sym,
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volume=sym_info2.volume_min, price=sym_info2.bid)
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assert margin2 > 0
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async def test_order_check(self, buy_order, sell_order):
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ocr = await self.bte.order_check(request=buy_order)
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assert ocr is not None
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assert ocr.retcode == 0
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ocr2 = await self.bte.order_check(request=sell_order)
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assert ocr2 is not None
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assert ocr2.retcode == 0
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async def test_order_send(self, buy_order, sell_order):
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ocr = await self.bte.order_send(request=buy_order)
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assert ocr is not None
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assert ocr.retcode == 10009
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ocr2 = await self.bte.order_send(request=sell_order)
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assert ocr2 is not None
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assert ocr2.retcode == 10009
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