Pre-computed bars from trade ticks

[gcheshkov]

Hi! Thank you for a great project!

Why it is not possible to add pre-computed bars from trade ticks (PriceType.LAST) to backtest data container?

nautilus_trader/nautilus_trader/backtest/data_container.pyx

Line 253 in 6c10b5f

ValueError

[cjdsellers]

Hi, thank you for the kind feedback!

The entire data container concept will soon be refactored for simplicity. However for now you could try adding the data through add_trade_ticks as all bar data added for backtesting is pre-processed into tick type data anyway.

Refer to the stub trade tick data found in the test_kit for a heads up on the correct pd.DataFrame format.

tests/test_kit/data

I will look into refactoring the add_bar_data method so that the PriceType.LAST results in the data being processed into trade ticks.

[cjdsellers]

#269 opened

[gcheshkov]

Thanks for the explanation. I can add four ticks for each bar and this will be much faster than adding raw ticks.

[cjdsellers]

@gcheshkov How did you end up going with this?

[gcheshkov]

I create eight ticks for each bar. A pair with different aggressor side for open, hight, low and close. A pair of ticks for each point is needed for L1OrderBook to match orders.

def _ticks_from_bar(instrument: Instrument, bar: Any) -> Generator[TradeTick, None, None]:
    is_green = bar.close >= bar.open
    tick_volume = bar.volume / 8

    eps = pd.Timedelta(1, "microsecond")
    ts_open = dt_to_unix_nanos(bar.Index - bar.duration + eps)
    ts_low = dt_to_unix_nanos(bar.Index - 2 * bar.duration / 3)
    ts_high = dt_to_unix_nanos(bar.Index - 1 * bar.duration / 3)
    ts_close = dt_to_unix_nanos(bar.Index - eps)
    if not is_green:
        ts_low, ts_high = ts_high, ts_low

    yield TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.open),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.BUY,
        match_id=str(ts_open),
        ts_event_ns=ts_open,
        ts_recv_ns=ts_open,
    )
    yield TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.open),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.SELL,
        match_id=str(ts_open),
        ts_event_ns=ts_open,
        ts_recv_ns=ts_open,
    )

    tick_low_buy = TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.low),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.BUY,
        match_id=str(ts_low),
        ts_event_ns=ts_low,
        ts_recv_ns=ts_low,
    )
    tick_low_sell = TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.low),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.SELL,
        match_id=str(ts_low),
        ts_event_ns=ts_low,
        ts_recv_ns=ts_low,
    )
    tick_high_buy = TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.high),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.BUY,
        match_id=str(ts_high),
        ts_event_ns=ts_high,
        ts_recv_ns=ts_high,
    )
    tick_high_sell = TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.high),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.SELL,
        match_id=str(ts_high),
        ts_event_ns=ts_high,
        ts_recv_ns=ts_high,
    )
    if is_green:
        yield tick_low_buy
        yield tick_low_sell
        yield tick_high_buy
        yield tick_high_sell
    else:
        yield tick_high_buy
        yield tick_high_sell
        yield tick_low_buy
        yield tick_low_sell

    yield TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.close),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.BUY,
        match_id=str(ts_close),
        ts_event_ns=ts_close,
        ts_recv_ns=ts_close,
    )
    yield TradeTick(
        instrument_id=instrument.id,
        price=instrument.make_price(bar.close),
        size=instrument.make_qty(tick_volume),
        aggressor_side=AggressorSide.SELL,
        match_id=str(ts_close),
        ts_event_ns=ts_close,
        ts_recv_ns=ts_close,
    )