BacktestTrader#

tradeexecutor.testing.backtest_trader.BacktestTrader class.

class BacktestTrader[source]#

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)[source]#
Parameters

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)[source]#
Parameters
time_travel(timestamp)[source]#

Set the timestamp for the next executions.

Parameters

timestamp (datetime) –

get_buy_price(pair, reserve)[source]#

Get the historical price for our current backtest time.

Parameters
Return type

float

get_sell_price(pair, quantity)[source]#

Get the historical price for our current backtest time.

Parameters
Return type

float

create(pair, quantity, reserve, price)[source]#

Open a new trade.

Parameters
Return type

Tuple[TradingPosition, TradeExecution]