crypto_ema_cross_ethusdt_trade_ticks.py

#!/usr/bin/env python3
# -------------------------------------------------------------------------------------------------
#  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
#  https://nautechsystems.io
#
#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
#  You may not use this file except in compliance with the License.
#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
#
#  Unless required by applicable law or agreed to in writing, software
#  distributed under the License is distributed on an "AS IS" BASIS,
#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#  See the License for the specific language governing permissions and
#  limitations under the License.
# -------------------------------------------------------------------------------------------------

import time
from decimal import Decimal

import pandas as pd

from nautilus_trader.adapters.binance import BINANCE_VENUE
from nautilus_trader.backtest.config import BacktestEngineConfig
from nautilus_trader.backtest.engine import BacktestEngine
from nautilus_trader.config import LoggingConfig
from nautilus_trader.examples.algorithms.twap import TWAPExecAlgorithm
from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAP
from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAPConfig
from nautilus_trader.model.currencies import ETH
from nautilus_trader.model.currencies import USDT
from nautilus_trader.model.data import BarType
from nautilus_trader.model.enums import AccountType
from nautilus_trader.model.enums import BookType
from nautilus_trader.model.enums import OmsType
from nautilus_trader.model.identifiers import TraderId
from nautilus_trader.model.objects import Money
from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
from nautilus_trader.test_kit.providers import TestDataProvider
from nautilus_trader.test_kit.providers import TestInstrumentProvider


if __name__ == "__main__":
    # Configure backtest engine
    config = BacktestEngineConfig(
        trader_id=TraderId("BACKTESTER-001"),
        logging=LoggingConfig(
            log_level="INFO",
            log_colors=True,
            use_pyo3=False,
        ),
    )

    # Build the backtest engine
    engine = BacktestEngine(config=config)

    # Add a trading venue (multiple venues possible)
    engine.add_venue(
        venue=BINANCE_VENUE,
        oms_type=OmsType.NETTING,
        book_type=BookType.L1_MBP,
        account_type=AccountType.CASH,  # Spot CASH account (not for perpetuals or futures)
        base_currency=None,  # Multi-currency account
        starting_balances=[Money(1_000_000.0, USDT), Money(10.0, ETH)],
        trade_execution=True,  # Only use with L1_MBP book type or throttled book data
    )

    # Add instruments
    ETHUSDT_BINANCE = TestInstrumentProvider.ethusdt_binance()
    engine.add_instrument(ETHUSDT_BINANCE)

    # Add data
    provider = TestDataProvider()
    wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
    ticks = wrangler.process(provider.read_csv_ticks("binance/ethusdt-trades.csv"))
    engine.add_data(ticks)

    # Configure your strategy
    strategy_config = EMACrossTWAPConfig(
        instrument_id=ETHUSDT_BINANCE.id,
        bar_type=BarType.from_str("ETHUSDT.BINANCE-250-TICK-LAST-INTERNAL"),
        trade_size=Decimal("0.10"),
        fast_ema_period=10,
        slow_ema_period=20,
        twap_horizon_secs=10.0,
        twap_interval_secs=2.5,
    )

    # Instantiate and add your strategy
    strategy = EMACrossTWAP(config=strategy_config)
    engine.add_strategy(strategy=strategy)

    # Instantiate and add your execution algorithm
    exec_algorithm = TWAPExecAlgorithm()
    engine.add_exec_algorithm(exec_algorithm)

    time.sleep(0.1)
    input("Press Enter to continue...")

    # Run the engine (from start to end of data)
    engine.run()

    # Optionally view reports
    with pd.option_context(
        "display.max_rows",
        100,
        "display.max_columns",
        None,
        "display.width",
        300,
    ):
        print(engine.trader.generate_account_report(BINANCE_VENUE))
        print(engine.trader.generate_order_fills_report())
        print(engine.trader.generate_positions_report())

    # Generate interactive tearsheet (requires: pip install plotly>=6.3.1)
    try:
        from nautilus_trader.analysis import TearsheetConfig
        from nautilus_trader.analysis.tearsheet import create_tearsheet

        print("\nGenerating tearsheet...")

        # Try different themes: "plotly_white", "plotly_dark", "nautilus", "nautilus_dark"
        tearsheet_config = TearsheetConfig(theme="plotly_white")  # Change this to test themes!

        create_tearsheet(
            engine=engine,
            output_path="crypto_ethusdt_tearsheet.html",
            config=tearsheet_config,
        )
        print("Tearsheet saved to: crypto_ethusdt_tearsheet.html")
        print(f"Theme: {tearsheet_config.theme}")
        print("Open this file in your browser to view interactive charts!")
    except ImportError:
        print("\nPlotly not installed. Install with: pip install plotly>=6.3.1")
        print("  Then re-run to generate tearsheets.")

    # For repeated backtest runs make sure to reset the engine
    engine.reset()

    # Good practice to dispose of the object
    engine.dispose()