Update

nkaz001 · Mar 31, 2023 · 5be4b2f · 5be4b2f
1 parent cfa35ed
commit 5be4b2f
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Showing 5 changed files with 53 additions and 31 deletions.
diff --git a/hftbacktest/__init__.py b/hftbacktest/__init__.py
@@ -5,10 +5,11 @@
 from .reader import COL_EVENT, COL_EXCH_TIMESTAMP, COL_LOCAL_TIMESTAMP, COL_SIDE, COL_PRICE, COL_QTY, \
     DEPTH_EVENT, DEPTH_CLEAR_EVENT, DEPTH_SNAPSHOT_EVENT, TRADE_EVENT, DataReader, Cache
 from .order import BUY, SELL, NONE, NEW, EXPIRED, FILLED, CANCELED, GTC, GTX, Order, OrderBus
-from .backtest import SingleInstHftBacktest
+from .backtest import SingleAssetHftBacktest
 from .data import validate_data, correct_local_timestamp, correct_exch_timestamp, correct
 from .proc.local import Local
-from .proc.nopartialfillexchange import NoPartialFillExch
+from .proc.nopartialfillexchange import NoPartialFillExchange
+from .proc.partialfillexchange import PartialFillExchange
 from .marketdepth import MarketDepth
 from .state import State
 from .models.latencies import FeedLatency, ConstantLatency, ForwardFeedLatency, BackwardFeedLatency, IntpOrderLatency
@@ -21,6 +22,7 @@
            'NONE', 'NEW', 'EXPIRED', 'FILLED', 'CANCELED',
            'GTC', 'GTX',
            'Order', 'HftBacktest',
+           'NoPartialFillExchange', 'PartialFillExchange',
            'ConstantLatency', 'FeedLatency', 'ForwardFeedLatency', 'BackwardFeedLatency', 'IntpOrderLatency',
            'Linear', 'Inverse',
            'RiskAverseQueueModel', 'LogProbQueueModel', 'IdentityProbQueueModel', 'SquareProbQueueModel',
@@ -163,7 +165,7 @@ def HftBacktest(
     )
 
     if exchange_model is None:
-        exchange_model = NoPartialFillExch
+        exchange_model = NoPartialFillExchange
 
     exch = exchange_model(
         exch_reader,
@@ -175,4 +177,4 @@ def HftBacktest(
         queue_model
     )
 
-    return SingleInstHftBacktest(local, exch)
+    return SingleAssetHftBacktest(local, exch)
diff --git a/hftbacktest/backtest.py b/hftbacktest/backtest.py
@@ -6,7 +6,7 @@
 from .reader import WAIT_ORDER_RESPONSE_NONE, COL_LOCAL_TIMESTAMP, UNTIL_END_OF_DATA
 
 
-class SingleInstHftBacktest_:
+class SingleAssetHftBacktest_:
     def __init__(self, local, exch):
         self.local = local
         self.exch = exch
@@ -204,11 +204,11 @@ def goto(self, timestamp, wait_order_response=WAIT_ORDER_RESPONSE_NONE):
         return True
 
 
-def SingleInstHftBacktest(local, exch):
+def SingleAssetHftBacktest(local, exch):
     jitted = jitclass(spec=[
         ('run', boolean),
         ('current_timestamp', int64),
         ('local', typeof(local)),
         ('exch', typeof(exch)),
-    ])(SingleInstHftBacktest_)
+    ])(SingleAssetHftBacktest_)
     return jitted(local, exch)
diff --git a/hftbacktest/models/queue.py b/hftbacktest/models/queue.py
@@ -25,7 +25,7 @@ def depth(self, order, prev_qty, new_qty, proc):
         order.q[0] = min(order.q[0], new_qty)
 
     def is_filled(self, order, proc):
-        return -order.q[0]
+        return round(order.q[0] / proc.lot_size) < 0
 
 
 class ProbQueueModel:
@@ -64,7 +64,7 @@ def depth(self, order, prev_qty, new_qty, proc):
         order.q[0] = min(est_front, new_qty)
 
     def is_filled(self, order, proc):
-        return -order.q[0]
+        return round(order.q[0] / proc.lot_size) < 0
 
     def prob(self, front, back):
         return np.divide(self.f(back), self.f(back) + self.f(front))

diff --git a/hftbacktest/proc/nopartialfillexchange.py b/hftbacktest/proc/nopartialfillexchange.py
@@ -10,7 +10,7 @@
     DEPTH_SNAPSHOT_EVENT, TRADE_EVENT
 
 
-class NoPartialFillExch_(Proc):
+class NoPartialFillExchange_(Proc):
     def __init__(
             self,
             reader,
@@ -139,8 +139,7 @@ def __check_if_sell_filled(self, order, price_tick, qty, timestamp):
         elif order.price_tick == price_tick:
             # Update the order's queue position.
             self.queue_model.trade(order, qty, self)
-            exec_qty = self.queue_model.is_filled(order, self)
-            if round(exec_qty / self.depth.lot_size) > 0:
+            if self.queue_model.is_filled(order, self):
                 self.__fill(order, timestamp, True)
 
     def __check_if_buy_filled(self, order, price_tick, qty, timestamp):
@@ -149,8 +148,7 @@ def __check_if_buy_filled(self, order, price_tick, qty, timestamp):
         elif order.price_tick == price_tick:
             # Update the order's queue position.
             self.queue_model.trade(order, qty, self)
-            exec_qty = self.queue_model.is_filled(order, self)
-            if round(exec_qty / self.depth.lot_size) > 0:
+            if self.queue_model.is_filled(order, self):
                 self.__fill(order, timestamp, True)
 
     def on_new(self, order):
@@ -224,7 +222,10 @@ def __ack_new(self, order, timestamp):
             else:
                 # The exchange accepts this order.
                 self.orders[order.order_id] = order
-                o = self.buy_orders.setdefault(order.price_tick, Dict.empty(int64, order_ladder_ty))
+                o = self.buy_orders.setdefault(
+                    order.price_tick,
+                    Dict.empty(int64, order_ladder_ty)
+                )
                 o[order.order_id] = order
                 # Initialize the order's queue position.
                 self.queue_model.new(order, self)
@@ -246,7 +247,10 @@ def __ack_new(self, order, timestamp):
             else:
                 # The exchange accepts this order.
                 self.orders[order.order_id] = order
-                o = self.sell_orders.setdefault(order.price_tick, Dict.empty(int64, order_ladder_ty))
+                o = self.sell_orders.setdefault(
+                    order.price_tick,
+                    Dict.empty(int64, order_ladder_ty)
+                )
                 o[order.order_id] = order
                 # Initialize the order's queue position.
                 self.queue_model.new(order, self)
@@ -310,7 +314,7 @@ def __fill(
         return local_recv_timestamp
 
 
-def NoPartialFillExch(
+def NoPartialFillExchange(
         reader,
         orders_to_local,
         orders_from_local,
@@ -325,7 +329,7 @@ def NoPartialFillExch(
             ('buy_orders', DictType(int64, order_ladder_ty)),
             ('queue_model', typeof(queue_model))
         ]
-    )(NoPartialFillExch_)
+    )(NoPartialFillExchange_)
     return jitted(
         reader,
         orders_to_local,

diff --git a/hftbacktest/proc/partialfillexchange.py b/hftbacktest/proc/partialfillexchange.py
@@ -3,14 +3,16 @@
 from numba.typed.typeddict import Dict
 from numba.types import DictType
 
+import numpy as np
+
 from .proc import Proc, proc_spec
 from ..marketdepth import INVALID_MAX, INVALID_MIN
 from ..order import BUY, SELL, NEW, CANCELED, FILLED, EXPIRED, PARTIALLY_FILLED, GTX, FOK, IOC, NONE, order_ladder_ty
 from ..reader import COL_EVENT, COL_EXCH_TIMESTAMP, COL_SIDE, COL_PRICE, COL_QTY, DEPTH_CLEAR_EVENT, DEPTH_EVENT, \
     DEPTH_SNAPSHOT_EVENT, TRADE_EVENT
 
 
-class PartialFillExch_(Proc):
+class PartialFillExchange_(Proc):
     def __init__(
             self,
             reader,
@@ -146,11 +148,12 @@ def __check_if_sell_filled(self, order, price_tick, qty, timestamp):
         elif order.price_tick == price_tick:
             # Update the order's queue position.
             self.queue_model.trade(order, qty, self)
-            exec_qty = self.queue_model.is_filled(order, self)
-            if round(exec_qty / self.depth.lot_size) > 0:
+            if self.queue_model.is_filled(order, self):
+                q_qty = np.ceil(-order.q[0] / self.depth.lot_size) * self.depth.lot_size
+                exec_qty = min(q_qty, qty, order.leaves_qty)
                 self.__fill(
                     order,
-                    min(exec_qty, qty),
+                    exec_qty,
                     timestamp,
                     True
                 )
@@ -166,11 +169,12 @@ def __check_if_buy_filled(self, order, price_tick, qty, timestamp):
         elif order.price_tick == price_tick:
             # Update the order's queue position.
             self.queue_model.trade(order, qty, self)
-            exec_qty = self.queue_model.is_filled(order, self)
-            if round(exec_qty / self.depth.lot_size) > 0:
+            if self.queue_model.is_filled(order, self):
+                q_qty = np.ceil(-order.q[0] / self.depth.lot_size) * self.depth.lot_size
+                exec_qty = min(q_qty, qty, order.leaves_qty)
                 self.__fill(
                     order,
-                    min(exec_qty, qty),
+                    exec_qty,
                     timestamp,
                     True
                 )
@@ -261,7 +265,7 @@ def __ack_new(self, order, timestamp):
                     cum_qty = 0
                     for t in range(self.depth.best_ask_tick, order.price_tick + 1):
                         cum_qty += self.depth.ask_depth[t]
-                        if cum_qty >= order.qty:
+                        if round(cum_qty / self.depth.lot_size) >= round(order.qty / self.depth.lot_size):
                             execute = True
                             break
                     if execute:
@@ -309,6 +313,9 @@ def __ack_new(self, order, timestamp):
                         )
                         if order.status == FILLED:
                             return local_recv_timestamp
+                    # The buy order cannot remain in the ask book, as it cannot affect the market depth during
+                    # backtesting based on market-data replay. So, even though it simulates partial fill, if the order
+                    # size is not small enough, it introduces unreality.
                     return self.__fill(
                         order,
                         order.leaves_qty,
@@ -320,7 +327,10 @@ def __ack_new(self, order, timestamp):
             else:
                 # The exchange accepts this order.
                 self.orders[order.order_id] = order
-                o = self.buy_orders.setdefault(order.price_tick, Dict.empty(int64, order_ladder_ty))
+                o = self.buy_orders.setdefault(
+                    order.price_tick,
+                    Dict.empty(int64, order_ladder_ty)
+                )
                 o[order.order_id] = order
                 # Initialize the order's queue position.
                 self.queue_model.new(order, self)
@@ -337,7 +347,7 @@ def __ack_new(self, order, timestamp):
                     cum_qty = 0
                     for t in range(self.depth.best_bid_tick, order.price_tick - 1, -1):
                         cum_qty += self.depth.bid_depth[t]
-                        if cum_qty >= order.qty:
+                        if round(cum_qty / self.depth.lot_size) >= round(order.qty / self.depth.lot_size):
                             execute = True
                             break
                     if execute:
@@ -385,6 +395,9 @@ def __ack_new(self, order, timestamp):
                         )
                         if order.status == FILLED:
                             return local_recv_timestamp
+                    # The sell order cannot remain in the bid book, as it cannot affect the market depth during
+                    # backtesting based on market-data replay. So, even though it simulates partial fill, if the order
+                    # size is not small enough, it introduces unreality.
                     return self.__fill(
                         order,
                         order.leaves_qty,
@@ -396,7 +409,10 @@ def __ack_new(self, order, timestamp):
             else:
                 # The exchange accepts this order.
                 self.orders[order.order_id] = order
-                o = self.sell_orders.setdefault(order.price_tick, Dict.empty(int64, order_ladder_ty))
+                o = self.sell_orders.setdefault(
+                    order.price_tick,
+                    Dict.empty(int64, order_ladder_ty)
+                )
                 o[order.order_id] = order
                 # Initialize the order's queue position.
                 self.queue_model.new(order, self)
@@ -461,7 +477,7 @@ def __fill(
         return local_recv_timestamp
 
 
-def PartialFillExch(
+def PartialFillExchange(
         reader,
         orders_to_local,
         orders_from_local,
@@ -476,7 +492,7 @@ def PartialFillExch(
             ('buy_orders', DictType(int64, order_ladder_ty)),
             ('queue_model', typeof(queue_model))
         ]
-    )(PartialFillExch_)
+    )(PartialFillExchange_)
     return jitted(
         reader,
         orders_to_local,