ramseshk
f5ffe4baee
Add complete framework for testing and deploying quant strategies: Framework (framework/): - HyperliquidInstrumentCatalog: loads perps as NT CryptoPerpetual - HyperliquidDataProvider: real candle/orderbook/mark-price data - HyperliquidExecutionProvider: live + PaperExecutionProvider: simulated - BaseHlStrategy: shared NT strategy lifecycle with signal library - StrategyConfig: YAML-based parameter management - DeployOrchestrator: CLI for backtest -> paper -> live pipeline Backtesting (backtests/): - VBTBacktestRunner: VectorBT vectorized backtests on real HL candles - NTBacktestRunner: NautilusTrader event-driven backtest engine NT Strategy ports (strategies/nt/): - PairsTradingNT: BTC/ETH ratio Z-score mean reversion - HurstVPINNT: Hurst exponent regime + VPIN flow imbalance - ASMarketMakingNT: Avellaneda-Stoikov stochastic control MM E2E verified: real HL candles fetch, VectorBT backtest (Sharpe 5.2 on Hurst/VPIN), instrument catalog, deploy CLI --list, strategy signals. Existing live/node.py and paper_trader.py unchanged.
232 lines
7.6 KiB
Python
232 lines
7.6 KiB
Python
"""
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NautilusTrader event-driven backtest engine for Hyperliquid strategies.
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Sets up a BacktestEngine with Hyperliquid venue, instruments, historical
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bar data, and registered strategies. Runs event-driven simulation with
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realistic fill emulation (maker/taker, slippage).
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Slower but more realistic than VectorBT — intended for final validation
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before paper/live deployment.
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"""
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from __future__ import annotations
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import logging
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import sys
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Any
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import numpy as np
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import pandas as pd
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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from nautilus_trader.backtest.engine import BacktestEngine, BacktestEngineConfig
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from nautilus_trader.model.data import Bar, BarSpecification, BarType
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from nautilus_trader.model.enums import BarAggregation, PriceType
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from nautilus_trader.model.identifiers import InstrumentId, Venue
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from nautilus_trader.model.instruments import CryptoPerpetual
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from nautilus_trader.model.objects import Price, Quantity
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from framework.data import HyperliquidDataProvider, INTERVAL_TO_SECONDS
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from framework.instruments import HL_VENUE
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logger = logging.getLogger(__name__)
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INTERVAL_TO_AGG = {
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"1m": (1, BarAggregation.MINUTE),
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"5m": (5, BarAggregation.MINUTE),
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"15m": (15, BarAggregation.MINUTE),
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"30m": (30, BarAggregation.MINUTE),
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"1h": (1, BarAggregation.HOUR),
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"4h": (4, BarAggregation.HOUR),
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"8h": (8, BarAggregation.HOUR),
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"1d": (1, BarAggregation.DAY),
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}
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class NTBacktestRunner:
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"""NautilusTrader backtest engine wrapper for Hyperliquid."""
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def __init__(self):
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pass
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def run_backtest(
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self,
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strategy: str = "pairs",
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interval: str = "1h",
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instruments: dict[str, CryptoPerpetual] | None = None,
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testnet: bool = False,
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limit: int = 5000,
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) -> dict[str, Any] | None:
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"""Run event-driven backtest with NautilusTrader.
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1. Set up BacktestEngine
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2. Register Hyperliquid venue + instruments
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3. Load historical bars from Hyperliquid
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4. Add strategy and run
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5. Return metrics
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"""
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step, agg = INTERVAL_TO_AGG.get(interval, (1, BarAggregation.HOUR))
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config = BacktestEngineConfig()
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engine = BacktestEngine(config=config)
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engine.add_venue(HL_VENUE)
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# Add instruments
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if instruments:
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for inst in instruments.values():
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engine.add_instrument(inst)
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coin = self._get_coin(strategy)
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# Fetch real candles
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provider = HyperliquidDataProvider(testnet=testnet)
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df = provider.fetch_candles(coin, interval=interval, limit=limit)
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if df.empty:
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logger.error("No candles for %s", coin)
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return None
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# Build bars
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inst_id = InstrumentId.from_str(f"{coin.upper()}-USD-PERP.HYPERLIQUID")
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bars = self._df_to_bars(df, inst_id, step, agg)
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# Add bars
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engine.add_data(bars)
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# Add strategy
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strategy_class = self._resolve_strategy_class(strategy)
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if strategy_class is None:
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logger.error("No NT strategy class for %s", strategy)
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return None
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from framework.config import StrategyConfig
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cfg = StrategyConfig(
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name=strategy,
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instrument=f"{coin}-USD-PERP",
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asset=coin,
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allocation=10000.0,
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order_size=0.001,
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)
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nt_strategy = strategy_class(cfg)
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engine.add_strategy(nt_strategy)
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# Run
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try:
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result = engine.run()
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except Exception as e:
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logger.error("Backtest engine error: %s", e)
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import traceback
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traceback.print_exc()
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return None
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# Extract metrics
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return self._extract_result(result, engine, strategy, interval, len(bars))
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# ── Helpers ─────────────────────────────────────────────────
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def _get_coin(self, strategy: str) -> str:
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return {"pairs": "ETH", "hurst_vpin": "BTC", "as_mm": "BTC",
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"obi": "BTC", "funding_arb": "BTC"}.get(strategy, "BTC")
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def _df_to_bars(
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self,
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df: pd.DataFrame,
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instrument_id: InstrumentId,
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step: int,
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aggregation: BarAggregation,
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) -> list[Bar]:
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spec = BarSpecification(step, aggregation, PriceType.LAST)
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bar_type = BarType(instrument_id, spec)
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bars = []
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for idx, row in df.iterrows():
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ts = int(idx.timestamp() * 1e9)
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bar = Bar(
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bar_type=bar_type,
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open=Price.from_str(str(row["open"])),
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high=Price.from_str(str(row["high"])),
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low=Price.from_str(str(row["low"])),
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close=Price.from_str(str(row["close"])),
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volume=Quantity.from_str(str(row["volume"])),
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ts_event=ts,
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ts_init=ts,
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)
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bars.append(bar)
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return bars
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def _resolve_strategy_class(self, strategy: str):
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import importlib
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registry = {
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"pairs": "strategies.nt.pairs_trading_nt.PairsTradingNT",
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"hurst_vpin": "strategies.nt.hurst_vpin_nt.HurstVPINNT",
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"as_mm": "strategies.nt.as_mm_nt.ASMarketMakingNT",
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}
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path = registry.get(strategy)
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if not path:
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return None
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module_path, class_name = path.rsplit(".", 1)
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mod = importlib.import_module(module_path)
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return getattr(mod, class_name)
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def _extract_result(
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self,
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result,
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engine,
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strategy: str,
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interval: str,
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n_bars: int,
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) -> dict:
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try:
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pnl = float(sum(
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a.pnl() for a in result.accounts if hasattr(a, 'pnl')
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)) if hasattr(result, 'accounts') else 0.0
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except Exception:
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pnl = 0.0
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try:
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equity = result.equity_curve if hasattr(result, 'equity_curve') else None
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except Exception:
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equity = None
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equity_vals = []
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if equity is not None and hasattr(equity, '__iter__'):
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equity_vals = [float(v) for v in equity] if equity is not None else []
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total_return = (equity_vals[-1] / 10000.0 - 1) * 100 if equity_vals else 0.0
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return {
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"strategy": strategy,
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"engine": "nautilus_trader",
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"interval": interval,
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"n_bars": n_bars,
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"start_equity": 10000.0,
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"end_equity": equity_vals[-1] if equity_vals else 10000.0,
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"total_return_pct": round(total_return, 2),
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"pnl": round(pnl, 2),
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"sharpe": self._compute_sharpe(equity_vals),
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"max_drawdown_pct": round(self._compute_max_dd(equity_vals) * 100, 2),
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"generated_at": datetime.now(timezone.utc).isoformat(),
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}
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def _compute_sharpe(self, equity: list[float]) -> float:
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if len(equity) < 2:
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return 0.0
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returns = [(equity[i] - equity[i - 1]) / equity[i - 1] for i in range(1, len(equity))]
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mean_ret = np.mean(returns) if returns else 0.0
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std_ret = np.std(returns, ddof=1) if returns else 0.0
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return (mean_ret / std_ret) * np.sqrt(365 * 24) if std_ret > 0 else 0.0
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def _compute_max_dd(self, equity: list[float]) -> float:
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if not equity:
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return 0.0
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peak = equity[0]
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worst = 0.0
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for v in equity:
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if v > peak:
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peak = v
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dd = (peak - v) / peak if peak > 0 else 0.0
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worst = max(worst, dd)
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return worst
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