Source code for tradeexecutor.backtest.backtest_routing

"""Find routes between historical pairs."""

import logging
from decimal import Decimal
from typing import Dict, List, Optional, Tuple


from tradeexecutor.backtest.simulated_wallet import SimulatedWallet
from tradeexecutor.state.blockhain_transaction import BlockchainTransaction
from tradeexecutor.state.identifier import TradingPairIdentifier, AssetIdentifier
from tradeexecutor.state.trade import TradeExecution
from tradeexecutor.strategy.routing import RoutingModel, RoutingState
from tradeexecutor.ethereum.routing_model import EthereumRoutingModel
from tradeexecutor.strategy.trading_strategy_universe import TradingStrategyUniverse, translate_token
from tradingstrategy.pair import PandasPairUniverse



logger = logging.getLogger(__name__)


class OutOfBalance(Exception):
    """Did not have enough tokens"""


[docs]class BacktestRoutingState(RoutingState):
[docs] def __init__(self, pair_universe: PandasPairUniverse, wallet: SimulatedWallet, ): super().__init__(pair_universe) self.pair_universe = pair_universe self.wallet = wallet
[docs]class BacktestRoutingModel(RoutingModel): """A simple router that does not optimise the trade execution cost. - Able to trade on multiple exchanges - Able to three-way trades through predefined intermediary hops, either on the exchange itself or some outside exchange """
[docs] def __init__(self, factory_router_map: Dict[str, Tuple[str, Optional[str]]], allowed_intermediary_pairs: Dict[str, str], reserve_token_address: str, trading_fee: Optional[float] = None, ): """ :param factory_router_map: Defines router smart contracts to be used with each DEX. Each Uniswap v2 is uniquely identified by its factory contract. Addresses always lowercase. :param allowed_intermediary_pairs: Quote token address -> pair smart contract address mapping. Because we hold our reserves only in one currecy e.g. BUSD and we want to trade e.g. Cake/BNB pairs, we need to whitelist BNB as an allowed intermediary token. This makes it possible to do BUSD -> BNB -> Cake trade. This set is the list of pair smart contract addresses that are allowed to be used as a hop. :param reserve_token_address: Token address of our reserve currency. Relevent for buy/sell routing. Lowercase. :param trading_fee: The trading fee applied to all trades by default, unless a pair overrides. """ assert type(factory_router_map) == dict # Convert all key addresses to lowercase to # avoid mix up with Ethereum address checksums self.factory_router_map = self.convert_address_dict_to_lower(factory_router_map) self.trading_fee = trading_fee
[docs] def get_default_trading_fee(self) -> Optional[float]: return self.trading_fee
[docs] def setup_internal(self, routing_state: RoutingState, trade: TradeExecution): """Simulate trade braodcast and mark it as success.""" # 2. Capital allocation nonce, tx_hash = routing_state.wallet.fetch_nonce_and_tx_hash() trade.blockchain_transactions = [ BlockchainTransaction( nonce=nonce, tx_hash=tx_hash, ) ]
[docs] def setup_trades(self, routing_state: BacktestRoutingState, trades: List[TradeExecution], check_balances=False): """Strategy and live execution connection. Turns abstract strategy trades to real blockchain transactions. - Modifies TradeExecution objects in place and associates a blockchain transaction for each - Signs tranactions from the hot wallet and broadcasts them to the network :param check_balances: Check that the wallet has enough reserves to perform the trades before executing them. Because we are selling before buying. sometimes we do no know this until the sell tx has been completed. :param max_slippage: Max slippaeg tolerated per trade. 0.01 is 1%. """ for t in trades: self.setup_internal(routing_state, t)
[docs] def create_routing_state(self, universe: TradingStrategyUniverse, execution_details: dict) -> BacktestRoutingState: """Create a new routing state for this cycle.""" assert isinstance(universe, TradingStrategyUniverse) wallet = execution_details["wallet"] return BacktestRoutingState(universe.data_universe.pairs, wallet)
[docs]class BacktestRoutingIgnoredModel(BacktestRoutingModel): """A router that assumes all trading pairs are tradeable with the resever currency. This is a hypotethical router for backtest different trading scenarios where there is not yet information how the trade could be executed in real life. - A router that assumes trades can be just "done" This ignores realities of - Tokens not portable across chains - Trading pairs having multiple legs (USDC->WETH->AAVE) - Use trading fee assuming we would trade any pair without hops = """
[docs] def __init__(self, reserve_token_address: str): RoutingModel.__init__(self, dict(), reserve_token_address)
@property def trading_fee(self): raise AssertionError("This should not be called. Ensure your pair data have trading fees set.")
[docs] def trade(self, routing_state: BacktestRoutingState, # TODO remove target_pair: TradingPairIdentifier, reserve_asset: AssetIdentifier, reserve_asset_amount: Decimal, # Raw amount of the reserve asset max_slippage: float=0.01, check_balances=False, intermediary_pair: Optional[TradingPairIdentifier] = None, ) -> List[BlockchainTransaction]: """Make a simplified trade. Just fill in the blanks on `TradeExecution`. :param routing_state: :param target_pair: :param reserve_asset: :param reserve_asset_amount: :param max_slippage: Max slippage per trade. 0.01 is 1%. :param check_balances: Check on-chain balances that the account has enough tokens and raise exception if not. :param intermediary_pair: Ignore :return: List of prepared transactions to make this trade. These transactions, like approve() may relate to the earlier transactions in the `routing_state`. """ self.pre_trade_assertions(reserve_asset_amount, max_slippage, target_pair, reserve_asset) return self.routing_state.create_and_complete_trade( target_pair, reserve_asset, reserve_asset_amount, max_slippage=max_slippage, check_balances=check_balances, )
[docs] def setup_internal(self, routing_state: RoutingState, trade: TradeExecution): """Simulate trade braodcast and mark it as success.""" # 2. Capital allocation nonce, tx_hash = routing_state.wallet.fetch_nonce_and_tx_hash() trade.blockchain_transactions = [ BlockchainTransaction( nonce=nonce, tx_hash=tx_hash, ) ]
[docs] def setup_trades( self, routing_state: BacktestRoutingState, trades: List[TradeExecution], check_balances=False, rebroadcast=False, ): """Strategy and live execution connection. Turns abstract strategy trades to real blockchain transactions. - Modifies TradeExecution objects in place and associates a blockchain transaction for each - Signs tranactions from the hot wallet and broadcasts them to the network :param check_balances: Check that the wallet has enough reserves to perform the trades before executing them. Because we are selling before buying. sometimes we do no know this until the sell tx has been completed. :param max_slippage: Max slippaeg tolerated per trade. 0.01 is 1%. """ for t in trades: self.setup_internal(routing_state, t)
[docs] def create_routing_state(self, universe: TradingStrategyUniverse, execution_details: dict) -> BacktestRoutingState: """Create a new routing state for this cycle.""" assert isinstance(universe, TradingStrategyUniverse) wallet = execution_details["wallet"] return BacktestRoutingState(universe.data_universe.pairs, wallet)