ramseshk
c1da0cbe65
Replaced the placeholder live node with a proper NautilusTrader TradingNode that connects to Hyperliquid Testnet using the official adapter. Added: - common/hyperliquid_api.py: direct REST calls to Hyperliquid's info endpoint for funding rates, predicted fundings, and asset contexts - backtests/run_backtest.py: CLI runner for strategy backtests - Updated funding_rate_arb.py to fetch real funding rates instead of using a hardcoded placeholder - Added requests to requirements.txt
91 lines
2.7 KiB
Python
91 lines
2.7 KiB
Python
"""
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Quick backtest runner for strategy validation.
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Runs any strategy against historical bar data to check basic
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logic before deploying live. Uses NautilusTrader's BacktestEngine.
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Usage:
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python backtests/run_backtest.py --strategy ofi --bars data/BTC-1h.parquet
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"""
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import argparse
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import asyncio
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from pathlib import Path
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from nautilus_trader.config import BacktestEngineConfig
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from nautilus_trader.config import BacktestDataConfig
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from nautilus_trader.config import BacktestVenueConfig
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from nautilus_trader.model.data import BarType
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from nautilus_trader.model.identifiers import InstrumentId, Venue
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from nautilus_trader.backtest.node import BacktestNode
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STRATEGIES = {
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"ofi": "strategies.orderbook_imbalance:OrderBookImbalanceConfig",
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"iceberg": "strategies.iceberg_detection:IcebergDetectorConfig",
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"funding_arb": "strategies.funding_rate_arb:FundingRateArbConfig",
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"pairs": "strategies.pairs_trading:PairsTradingConfig",
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"avellaneda": "strategies.avellaneda_stoikov:AvellanedaStoikovConfig",
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}
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async def run_backtest(strategy_name: str, data_path: str) -> None:
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"""Run a single strategy backtest."""
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if strategy_name not in STRATEGIES:
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print(f"Unknown strategy: {strategy_name}")
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print(f"Options: {list(STRATEGIES.keys())}")
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return
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config_path = STRATEGIES[strategy_name]
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# Basic backtest config — swap these for real data
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engine_config = BacktestEngineConfig()
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venue_config = BacktestVenueConfig(
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name="HYPERLIQUID",
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oms_type="NETTING",
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account_type="MARGIN",
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starting_balances=["100000 USDC"],
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)
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data_config = BacktestDataConfig(
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catalog_path=str(Path(data_path).parent),
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data_cls="nautilus_trader.model.data.Bar",
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catalog_fs_protocol="file",
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bar_type=BarType.from_str("BTC-USD-PERP-1-HOUR-LAST-INTERNAL"),
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instrument_id=InstrumentId.from_str("BTC-USD-PERP.HYPERLIQUID"),
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start_time=None,
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end_time=None,
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)
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node = BacktestNode(
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config=engine_config,
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venue_configs=[venue_config],
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data_configs=[data_config],
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)
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node.add_strategy(config_path=config_path)
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await node.run()
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node.dispose()
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def main():
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parser = argparse.ArgumentParser(description="FTDT Quant Lab - Backtest Runner")
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parser.add_argument(
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"--strategy", "-s",
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choices=list(STRATEGIES.keys()),
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required=True,
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help="Strategy to backtest",
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)
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parser.add_argument(
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"--data", "-d",
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default="data/BTC-1h.parquet",
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help="Path to bar data (parquet format)",
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)
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args = parser.parse_args()
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asyncio.run(run_backtest(args.strategy, args.data))
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if __name__ == "__main__":
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main()
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