EMA + TWAP backtest

pyproject.toml

@@ -13,6 +13,8 @@ dependencies = [
     "httpx>=0.28.1",
     "python-dotenv>=1.1.1",
     "websockets>=15.0.1",
+    "pandas>=2.2.0",
+    "nautilus-trader==1.219.0",
 ]
 
 [project.optional-dependencies]

src/backtesting/README.md

@@ -0,0 +1,4 @@
+# Backtesting Utilities
+
+- Fetch fresh data and run the EMA + TWAP backtest in one shot:
+  - `uv run --python 3.13 python src/backtesting/hyperliquid_btc_ema_twap_backtest.py --refresh-data --minutes 720`

src/backtesting/hyperliquid_btc_ema_twap_backtest.py

@@ -0,0 +1,201 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2025 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.
+# -------------------------------------------------------------------------------------------------
+
+"""EMA + TWAP backtest wired for Hyperliquid data."""
+
+from __future__ import annotations
+
+import argparse
+import time
+from decimal import Decimal
+from pathlib import Path
+
+import pandas as pd
+
+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 BTC
+from nautilus_trader.model.currencies import USDC
+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 InstrumentId
+from nautilus_trader.model.identifiers import Symbol
+from nautilus_trader.model.identifiers import TraderId
+from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.instruments import CurrencyPair
+from nautilus_trader.model.objects import Money
+from nautilus_trader.model.objects import Price
+from nautilus_trader.model.objects import Quantity
+from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
+
+from hyperliquid_data_fetcher import DEFAULT_INTERVAL
+from hyperliquid_data_fetcher import fetch_trades_to_csv
+
+
+DEFAULT_DATA_PATH = Path(__file__).resolve().parent.parent.parent / "hyperliquid" / "btcusdc-trades.csv"
+
+HYPERLIQUID_VENUE = Venue("HYPERLIQUID")
+
+
+def hyperliquid_btcusdc_instrument() -> CurrencyPair:
+    return CurrencyPair(
+        instrument_id=InstrumentId(symbol=Symbol("BTCUSDC"), venue=HYPERLIQUID_VENUE),
+        raw_symbol=Symbol("BTCUSDC"),
+        base_currency=BTC,
+        quote_currency=USDC,
+        price_precision=2,
+        size_precision=5,
+        price_increment=Price(1e-02, precision=2),
+        size_increment=Quantity(1e-05, precision=5),
+        lot_size=None,
+        max_quantity=Quantity(1000, precision=5),
+        min_quantity=Quantity(1e-05, precision=5),
+        max_notional=None,
+        min_notional=Money(10.0, USDC),
+        max_price=Price(200000.0, precision=2),
+        min_price=Price(1e-02, precision=2),
+        margin_init=Decimal("0"),
+        margin_maint=Decimal("0"),
+        maker_fee=Decimal("0.0005"),
+        taker_fee=Decimal("0.0005"),
+        ts_event=0,
+        ts_init=0,
+    )
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description="Run the Hyperliquid EMA + TWAP backtest")
+    parser.add_argument(
+        "--data-path",
+        default=str(DEFAULT_DATA_PATH),
+        help="Path to the trade CSV (default: hyperliquid/btcusdc-trades.csv)",
+    )
+    parser.add_argument(
+        "--minutes",
+        type=int,
+        default=360,
+        help="Minutes of history to download when generating data (default: 360)",
+    )
+    parser.add_argument(
+        "--interval",
+        default=DEFAULT_INTERVAL,
+        help="Candle interval to use when fetching data (default: 1m)",
+    )
+    parser.add_argument(
+        "--refresh-data",
+        action="store_true",
+        help="Force regeneration of the trade CSV before running",
+    )
+    parser.add_argument(
+        "--mainnet",
+        action="store_true",
+        help="Fetch data from mainnet instead of testnet",
+    )
+    parser.add_argument(
+        "--max-trades-per-candle",
+        type=int,
+        default=10,
+        help="Synthetic trades to generate per candle (default: 10)",
+    )
+    return parser.parse_args()
+
+
+def load_trade_data(path: Path) -> pd.DataFrame:
+    frame = pd.read_csv(path)
+    frame["timestamp"] = pd.to_datetime(frame["timestamp"], utc=True, format="mixed")
+    frame["buyer_maker"] = frame["buyer_maker"].astype(str).str.lower() == "true"
+    frame["price"] = frame["price"].astype(float)
+    frame["quantity"] = frame["quantity"].astype(float)
+    frame.set_index("timestamp", inplace=True)
+    return frame
+
+
+def main() -> None:
+    args = parse_args()
+
+    data_path = Path(args.data_path)
+    if args.refresh_data or not data_path.exists():
+        fetch_trades_to_csv(
+            symbol="BTC",
+            interval=args.interval,
+            minutes=args.minutes,
+            testnet=not args.mainnet,
+            output_path=data_path,
+            max_trades_per_candle=max(1, args.max_trades_per_candle),
+        )
+
+    trade_df = load_trade_data(data_path)
+
+    config = BacktestEngineConfig(
+        trader_id=TraderId("BACKTESTER-001"),
+        logging=LoggingConfig(log_level="INFO", log_colors=True, use_pyo3=False),
+    )
+    engine = BacktestEngine(config=config)
+
+    engine.add_venue(
+        venue=HYPERLIQUID_VENUE,
+        oms_type=OmsType.NETTING,
+        book_type=BookType.L1_MBP,
+        account_type=AccountType.CASH,
+        base_currency=None,
+        starting_balances=[Money(1_000_000.0, USDC), Money(10.0, BTC)],
+        trade_execution=True,
+    )
+
+    btcusdc = hyperliquid_btcusdc_instrument()
+    engine.add_instrument(btcusdc)
+
+    wrangler = TradeTickDataWrangler(instrument=btcusdc)
+    ticks = wrangler.process(trade_df)
+    engine.add_data(ticks)
+
+    strategy_config = EMACrossTWAPConfig(
+        instrument_id=btcusdc.id,
+        bar_type=BarType.from_str("BTCUSDC.HYPERLIQUID-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,
+    )
+
+    strategy = EMACrossTWAP(config=strategy_config)
+    engine.add_strategy(strategy=strategy)
+
+    exec_algorithm = TWAPExecAlgorithm()
+    engine.add_exec_algorithm(exec_algorithm)
+
+    time.sleep(0.1)
+
+    engine.run()
+
+    with pd.option_context("display.max_rows", 100, "display.max_columns", None, "display.width", 300):
+        print(engine.trader.generate_account_report(HYPERLIQUID_VENUE))
+        print(engine.trader.generate_order_fills_report())
+        print(engine.trader.generate_positions_report())
+
+    engine.reset()
+    engine.dispose()
+
+
+if __name__ == "__main__":
+    main()