BacktestTrader

API documentation for tradeexecutor.testing.backtest_trader.BacktestTrader Python class in Trading Strategy framework.

class BacktestTrader

Bases: object

Helper class to generate trades for backtesting.

Directly generate trades without going through a strategy. Any trade is executed against given pair, price universe and execution model.

__init__(start_ts, state, universe, execution_model, routing_model, pricing_model)

Parameters:

• start_ts (datetime) –

• state (State) –

• universe (TradingStrategyUniverse) –

• execution_model (BacktestExecution) –

• routing_model (BacktestRoutingModel) –

• pricing_model (BacktestPricing) –

Methods

__init__(start_ts, state, universe, ...)
buy(pair, reserve)
create(pair, quantity, reserve, price[, ...])	Open a new trade.
create_and_execute(pair, quantity, reserve, ...)
get_buy_price(pair, reserve)	Get the historical price for our current backtest time.
get_sell_price(pair, quantity)	Get the historical price for our current backtest time.
sell(pair, quantity)
time_travel(timestamp)	Set the timestamp for the next executions.

__init__(start_ts, state, universe, execution_model, routing_model, pricing_model)

Parameters:

• start_ts (datetime) –

• state (State) –

• universe (TradingStrategyUniverse) –

• execution_model (BacktestExecution) –

• routing_model (BacktestRoutingModel) –

• pricing_model (BacktestPricing) –

time_travel(timestamp)

Set the timestamp for the next executions.

Parameters:

timestamp (datetime) –

get_buy_price(pair, reserve)

Get the historical price for our current backtest time.

Parameters:

• pair (TradingPairIdentifier) –

• reserve (Decimal) –

Return type:

TradePricing

get_sell_price(pair, quantity)

Get the historical price for our current backtest time.

Parameters:

• pair (TradingPairIdentifier) –

• quantity (Decimal) –

Return type:

TradePricing

create(pair, quantity, reserve, price, planned_mid_price=None)

Open a new trade.

Parameters:

• pair (TradingPairIdentifier) –

• quantity (Optional[Decimal]) –

• reserve (Optional[Decimal]) –

• price (float) –

• planned_mid_price (Optional[float]) –

Return type:

Tuple[TradingPosition, TradeExecution]