backTester.py

import csv
import datetime
import decimal
import logging
import queue
from dataHandler import csvData
from events import event as event_class
from riskManager import putVerticalRiskManagement
from strategyManager import putVerticalStrat
from portfolioManager import portfolio
from collections import defaultdict

"""
This file runs the end-to-end backtesting session.
"""


class BackTestSession(object):
    """Class for holding all parameters of backtesting session."""

    def __init__(self):

        # Create queue to hold events (ticks, signals, etc.).
        self.eventQueue = queue.Queue()

        # Create CsvData class object.
        dataProviderPath = './dataHandler/dataProviders.json'
        dataProvider = 'iVolatility'
        filename ='./sampleData/spx_sample_ivolatility.csv'
        self.dataHandler = csvData.CsvData(csvPath=filename, dataProviderPath=dataProviderPath,
                                           dataProvider=dataProvider, eventQueue=self.eventQueue)

        # Parameters for strategy.
        startDateTime = '01/01/1990'
        startDateTimeFormatted = datetime.datetime.strptime(startDateTime, '%m/%d/%Y')
        # Save maxCapitalToUse in the session since the run function requires it.
        self.maxCapitalToUse = decimal.Decimal(0.75)  # Up to 75% of net liq can be used in trades.
        maxCapitalToUsePerTrade = decimal.Decimal(0.40)  # 40% max capital to use per trade / strategy.
        startingCapital = 1000000
        strategyName = 'PUT_VERTICAL_STRAT'
        riskManagement = 'HOLD_TO_EXPIRATION'
        closeDuration = 0  # Number of days from expiration to close the trade.
        optPutToBuyDelta = -0.01
        maxPutToBuyDelta = -0.1
        minPutToBuyDelta = -0.005
        optPutToSellDelta = -0.25
        maxPutToSellDelta = -0.30
        minPutToSellDelta = -0.11
        underlyingTicker = 'SPX'
        orderQuantity = 1
        contractMultiplier = 100
        optimalDTE = 25
        minimumDTE = 20
        maximumDTE = 55
        maxBidAsk = decimal.Decimal(15)  # Set to a large value to effectively disable.
        minCreditDebit = decimal.Decimal(1.00)

        # Set up portfolio and position monitoring.
        self.positionMonitoring = defaultdict(list)
        pricingSource = 'tastyworks'
        pricingSourceConfigFile = './dataHandler/pricingConfig.json'
        self.portfolioManager = portfolio.Portfolio(decimal.Decimal(startingCapital), self.maxCapitalToUse,
                                                    maxCapitalToUsePerTrade, positionMonitoring=self.positionMonitoring)

        if strategyName != 'PUT_VERTICAL_STRAT':
            raise ValueError('Strategy not supported.')
        else:
            # TODO(msantoro): If statements below should use polymorphism where the riskManagement.py has all of the
            #  base risk management types.
            if riskManagement == 'HOLD_TO_EXPIRATION':
                riskManagement = putVerticalRiskManagement.PutVerticalManagementStrategyTypes.HOLD_TO_EXPIRATION
            elif riskManagement == 'CLOSE_AT_50_PERCENT':
                riskManagement = putVerticalRiskManagement.PutVerticalManagementStrategyTypes.CLOSE_AT_50_PERCENT
            elif riskManagement == 'CLOSE_AT_50_PERCENT_OR_21_DAYS':
                riskManagement = putVerticalRiskManagement.PutVerticalManagementStrategyTypes.CLOSE_AT_50_PERCENT_OR_21_DAYS
            elif riskManagement == 'CLOSE_AT_50_PERCENT_OR_21_DAYS_OR_HALFLOSS':
                riskManagement = putVerticalRiskManagement.PutVerticalManagementStrategyTypes.CLOSE_AT_50_PERCENT_OR_21_DAYS_OR_HALFLOSS
            elif riskManagement == 'CLOSE_AT_21_DAYS':
                riskManagement = putVerticalRiskManagement.PutVerticalManagementStrategyTypes.CLOSE_AT_21_DAYS
            else:
                raise ValueError('Risk management type not supported.')
            if closeDuration <= 0:
                closeDuration = None
            riskManagementStrategy = putVerticalRiskManagement.PutVerticalRiskManagement(riskManagement, closeDuration)
            self.strategyManager = putVerticalStrat.PutVerticalStrat(
                self.eventQueue, optPutToBuyDelta, maxPutToBuyDelta, minPutToBuyDelta, optPutToSellDelta,
                maxPutToSellDelta, minPutToSellDelta, underlyingTicker, orderQuantity, contractMultiplier,
                riskManagementStrategy, pricingSource, pricingSourceConfigFile, startDateTimeFormatted, optimalDTE,
                minimumDTE, maximumDTE, maxBidAsk=maxBidAsk, maxCapitalToUsePerTrade=maxCapitalToUsePerTrade,
                minCreditDebit=minCreditDebit)

            # Write params to log file to be able to track experiments.
            # Set up logging for the session.
            logging.basicConfig(filename='log.log', level=logging.DEBUG)
            logging.info(
                'optPutToSellDelta: {} maxPutToSellDelta: {} minPutToSellDelta: {} optPutToBuyDelta: {}'
                ' maxPutToBuyDelta: {} minPutToBuyDelta: {} underlyingTicker: {} orderQuantity: {}'
                ' optimalDTE: {} minimumDTE: {} maximumDTE: {} maxBidAsk: {} minCredit: {} riskManagement: {}'
                ' startingCapital: {} self.maxCapitalToUse: {} maxCapitalToUsePerTrade: {}'
                ' pricingSource: {}'.format(
                    optPutToSellDelta, maxPutToSellDelta, minPutToSellDelta, optPutToBuyDelta, maxPutToBuyDelta,
                    minPutToBuyDelta, underlyingTicker, orderQuantity, optimalDTE, minimumDTE, maximumDTE, maxBidAsk,
                    minCreditDebit, riskManagementStrategy.getRiskManagementType(), startingCapital,
                    self.maxCapitalToUse, maxCapitalToUsePerTrade, pricingSource))


def run(currentSession):
    while 1:  # Infinite loop to keep processing items in queue.
        try:
            event = currentSession.eventQueue.get(False)
        except queue.Empty:
            # Get data for tick event.
            if not currentSession.dataHandler.getNextTick():
                # Get out of infinite while loop; no more data available.
                break
        else:
            if event is not None:
                if event.type == event_class.EventTypes.TICK:
                    currentSession.portfolioManager.updatePortfolio(event)
                    # We pass the net liquidity and available buying power to the strategy.
                    availableBuyingPower = decimal.Decimal(currentSession.maxCapitalToUse) * (
                        currentSession.portfolioManager.netLiquidity) - currentSession.portfolioManager.totalBuyingPower
                    currentSession.strategyManager.checkForSignal(event, currentSession.portfolioManager.netLiquidity,
                                                                  availableBuyingPower)
                elif event.type == event_class.EventTypes.SIGNAL:
                    currentSession.portfolioManager.onSignal(event)
                else:
                    raise NotImplemented("Unsupported event.type '%s'." % event.type)


if __name__ == "__main__":
    # Create a session and configure the session.
    session = BackTestSession()

    # Run the session.
    run(session)

    # Write position monitoring to CSV file.
    with open('monitoring.csv', 'w') as outfile:
        writer = csv.writer(outfile)
        writer.writerow(session.positionMonitoring.keys())
        writer.writerows(zip(*session.positionMonitoring.values()))