Merge pull request #33 from hummingbot/feat/directional_backtesting

Feat/directional backtesting

.gitignore

@@ -6,8 +6,6 @@ __pycache__/
 # C extensions
 *.
 
-*.ipynb
-
 secrets.toml
 .idea/*
 

constants.py

@@ -1,3 +1,5 @@
 CANDLES_DATA_PATH = "data/candles"
 DOWNLOAD_CANDLES_CONFIG_YML = "hummingbot_files/scripts_configs/data_downloader_config.yml"
 BOTS_FOLDER = "hummingbot_files/bot_configs"
+DIRECTIONAL_STRATEGIES_PATH = "quants_lab/strategy/experiments"
+OPTIMIZATIONS_PATH = "quants_lab/optimizations"

environment_conda.yml

@@ -6,7 +6,6 @@ dependencies:
  - sqlalchemy
  - pip
  - pip:
- - ccxt
  - streamlit
  - watchdog
  - plotly
@@ -17,5 +16,9 @@ dependencies:
  - pandas_ta
  - pyyaml
  - commlib-py
+ - jupyter
+ - optuna
+ - optuna-dashboard
+ - streamlit-ace
  - git+https://github.com/hummingbot/hbot-remote-client-py.git
  - git+https://github.com/hummingbot/docker-manager.git

hummingbot_files/bot_configs/data_downloader/conf/conf_client.yml

@@ -191,4 +191,9 @@ color:
 # The tick size is the frequency with which the clock notifies the time iterators by calling the
 # c_tick() method, that means for example that if the tick size is 1, the logic of the strategy 
 # will run every second.
-tick_size: 1.0
+tick_size: 1.0
+
+market_data_collection:
+ market_data_collection_enabled: true
+ market_data_collection_interval: 60
+ market_data_collection_depth: 20

hummingbot_files/bot_configs/data_downloader/conf_client.yml

@@ -0,0 +1,194 @@
+####################################
+### client_config_map config ###
+####################################
+
+instance_id: e90c0d6f2b1e2d54fa0c0a69612b07174320963b
+
+log_level: INFO
+
+debug_console: false
+
+strategy_report_interval: 900.0
+
+logger_override_whitelist:
+- hummingbot.strategy.arbitrage
+- hummingbot.strategy.cross_exchange_market_making
+- conf
+
+log_file_path: /home/hummingbot/logs
+
+kill_switch_mode: {}
+
+# What to auto-fill in the prompt after each import command (start/config)
+autofill_import: disabled
+
+telegram_mode: {}
+
+# MQTT Bridge configuration.
+mqtt_bridge:
+ mqtt_host: localhost
+ mqtt_port: 1883
+ mqtt_username: ''
+ mqtt_password: ''
+ mqtt_namespace: hbot
+ mqtt_ssl: false
+ mqtt_logger: true
+ mqtt_notifier: true
+ mqtt_commands: true
+ mqtt_events: true
+ mqtt_external_events: true
+ mqtt_autostart: true
+
+# Error log sharing
+send_error_logs: true
+
+# Can store the previous strategy ran for quick retrieval.
+previous_strategy: null
+
+# Advanced database options, currently supports SQLAlchemy's included dialects
+# Reference: https://docs.sqlalchemy.org/en/13/dialects/
+# To use an instance of SQLite DB the required configuration is 
+# db_engine: sqlite
+# To use a DBMS the required configuration is
+# db_host: 127.0.0.1
+# db_port: 3306
+# db_username: username
+# db_password: password
+# db_name: dbname
+db_mode:
+ db_engine: sqlite
+
+pmm_script_mode: {}
+
+# Balance Limit Configurations
+# e.g. Setting USDT and BTC limits on Binance.
+# balance_asset_limit:
+# binance:
+# BTC: 0.1
+# USDT: 1000
+balance_asset_limit:
+ kucoin: {}
+ ciex: {}
+ ascend_ex_paper_trade: {}
+ crypto_com: {}
+ mock_paper_exchange: {}
+ btc_markets: {}
+ bitmart: {}
+ hitbtc: {}
+ loopring: {}
+ mexc: {}
+ polkadex: {}
+ bybit: {}
+ foxbit: {}
+ gate_io_paper_trade: {}
+ kucoin_paper_trade: {}
+ altmarkets: {}
+ ascend_ex: {}
+ bittrex: {}
+ probit_kr: {}
+ binance: {}
+ bybit_testnet: {}
+ okx: {}
+ bitmex: {}
+ binance_us: {}
+ probit: {}
+ gate_io: {}
+ lbank: {}
+ whitebit: {}
+ bitmex_testnet: {}
+ kraken: {}
+ huobi: {}
+ binance_paper_trade: {}
+ ndax_testnet: {}
+ coinbase_pro: {}
+ ndax: {}
+ bitfinex: {}
+
+# Fixed gas price (in Gwei) for Ethereum transactions
+manual_gas_price: 50.0
+
+# Gateway API Configurations
+# default host to only use localhost
+# Port need to match the final installation port for Gateway
+gateway:
+ gateway_api_host: localhost
+ gateway_api_port: '15888'
+
+certs_path: /home/hummingbot/certs
+
+# Whether to enable aggregated order and trade data collection
+anonymized_metrics_mode:
+ anonymized_metrics_interval_min: 15.0
+
+# Command Shortcuts
+# Define abbreviations for often used commands
+# or batch grouped commands together
+command_shortcuts:
+- command: spreads
+ help: Set bid and ask spread
+ arguments:
+ - Bid Spread
+ - Ask Spread
+ output:
+ - config bid_spread $1
+ - config ask_spread $2
+
+# A source for rate oracle, currently ascend_ex, binance, coin_gecko, kucoin, gate_io
+rate_oracle_source:
+ name: binance
+
+# A universal token which to display tokens values in, e.g. USD,EUR,BTC
+global_token:
+ global_token_name: USD
+ global_token_symbol: $
+
+# Percentage of API rate limits (on any exchange and any end point) allocated to this bot instance.
+# Enter 50 to indicate 50%. E.g. if the API rate limit is 100 calls per second, and you allocate 
+# 50% to this setting, the bot will have a maximum (limit) of 50 calls per second
+rate_limits_share_pct: 100.0
+
+commands_timeout:
+ create_command_timeout: 10.0
+ other_commands_timeout: 30.0
+
+# Tabulate table format style (https://github.com/astanin/python-tabulate#table-format)
+tables_format: psql
+
+paper_trade:
+ paper_trade_exchanges:
+ - binance
+ - kucoin
+ - ascend_ex
+ - gate_io
+ paper_trade_account_balance:
+ BTC: 1.0
+ USDT: 1000.0
+ ONE: 1000.0
+ USDQ: 1000.0
+ TUSD: 1000.0
+ ETH: 10.0
+ WETH: 10.0
+ USDC: 1000.0
+ DAI: 1000.0
+
+color:
+ top_pane: '#000000'
+ bottom_pane: '#000000'
+ output_pane: '#262626'
+ input_pane: '#1C1C1C'
+ logs_pane: '#121212'
+ terminal_primary: '#5FFFD7'
+ primary_label: '#5FFFD7'
+ secondary_label: '#FFFFFF'
+ success_label: '#5FFFD7'
+ warning_label: '#FFFF00'
+ info_label: '#5FD7FF'
+ error_label: '#FF0000'
+ gold_label: '#FFD700'
+ silver_label: '#C0C0C0'
+ bronze_label: '#CD7F32'
+
+# The tick size is the frequency with which the clock notifies the time iterators by calling the
+# c_tick() method, that means for example that if the tick size is 1, the logic of the strategy 
+# will run every second.
+tick_size: 1.0

hummingbot_files/compose_files/data-downloader-compose.yml

@@ -2,7 +2,7 @@ version: "3.9"
 services:
  bot:
  container_name: candles_downloader
- image: dardonacci/hummingbot:development
+ image: hummingbot/hummingbot:development
  volumes:
  - "../../data/candles:/home/hummingbot/data"
  - "../bot_configs/data_downloader/conf:/home/hummingbot/conf"

pages/2_🚀_Strategy_Performance.py

@@ -1,5 +1,4 @@
 import os
-import ccxt
 
 import pandas as pd
 import streamlit as st