PiXiu - A trading backtesting tool similar to MT4/MT5
Project description
PiXiu
A trading backtesting tool similar to MT4/MT5.
It has a standard set of API definitions, and backtesting code written using these APIs can be run on www.TradePython.com without changes.
Install
pip install pixiu
If you have problems installing TA-Lib, please refer to https://github.com/mrjbq7/ta-lib
How to use
Parameters :
-c test config
-n test name (in the test configuration file)
-s script file
-o log file
pixiu -c pixiu_sample.json -n testUSDCHF_TP -s pixiu_sample.py
pixiu -c pixiu_sample.json -n testUSDCHF_TP -s pixiu_sample.py
pixiu -c pixiu_sample.json -n testUSDCHF -s pixiu_sample2.py -o log.txt
Test configuration file format
JSON format:
{
"accounts": {
"default": {
"balance": 10000.0,
"equity": 10000.0,
"margin": 0,
"free_margin": 10000.0,
"credit": 0.0,
"profit": 0.0,
"margin_level": 0,
"leverage": 100,
"currency": "USD",
"free_margin_mode": 0,
"stop_out_level": 0,
"stop_out_mode": 0,
"company": "TradePython.com",
"name": "PXTester",
"number": "000",
"server": "PXTester",
"trade_mode": 0,
"limit_orders": 500,
"margin_so_mode": 0,
"trade_allowed": true,
"trade_expert": 1,
"margin_so_call": 0.0,
"margin_so_so": 0.0,
"commission": 0.0
}
},
"symbols": {
"USDCHF": {
"symbol": "USDCHF",
"spread": 2,
"digits": 5,
"stop_level": 0,
"volume_min": 0.01,
"trade_contract_size": 100000,
"point": 0.00001,
"currency_profit": "CHF",
"currency_base": "USD",
"currency_margin": "USD"
}
},
"tests": {
"testUSDCHF": {
"symbol": "USDCHF",
"tick_data": "usdchf_m1_20210315-0415.csv",
"start_time": "2021-03-15",
"end_time": "2021-04-16",
"max_tick": 100,
"balance": 10000,
"leverage": 100,
"currency": "USD",
"account": "default",
"spread_point": 15
},
"testUSDCHF_TP": {
"symbol": "USDCHF",
"tick_data": {
"channel": "tradepython.com",
"api_token": "YOUR-API-TOKEN",
"source": "12345678@PixiuServer01",
"format": "json",
"period": 30,
"timeframe": "m1"
},
"max_tick": 100,
"balance": 10000,
"leverage": 100,
"currency": "USD",
"account": "default",
"spread_point": 15
},
"testUSDCHF_TP2": {
"symbol": "USDCHF",
"tick_data": {
"channel": "tradepython.com",
"api_token": "YOUR-API-TOKEN",
"source": {"type": "public", "name": "Demo1"},
"format": "json",
"period": 30,
"start_time": "2021-03-15",
"end_time": "2021-04-16",
"timeframe": "m1"
},
"start_time": "2021-03-15",
"end_time": "2021-04-16",
"max_tick": 100,
"balance": 10000,
"leverage": 100,
"currency": "USD",
"account": "default",
"spread_point": 15
}
}
}
Testing with csv files:
symbol: product
tick_data: tick data data file
start_time: start time
end_time: end time
max_tick: the maximum number of ticks to test, which can reduce the test time
balance: initial capital of the test account
leverage: leverage of the test account
account: the name of the test account (in the test profile accounts)
spread_point: spread
"testUSDCHF": {
"symbol": "USDCHF",
"tick_data": "usdchf_m1_20210315-0415.csv",
"start_time": "2021-03-15",
"end_time": "2021-04-16",
"max_tick": 100,
"balance": 10000,
"leverage": 100,
"currency": "USD",
"account": "default",
"spread_point": 15
}
Test with tradepython data test
source: Data account
account@account-server
Example:
12345678@PixiuServer01
or: {"type": "public", "name": "Demo1"}
type: public or private
name: Account name
period: data period (days)
Example:
30 - the last 30 days of data
timeframe: time frame, the following values
s1 - 1 second
m1 - 1 minute
m5 - 1 minute
m15 - 15 minutes
m30 - 30 minutes
h1 - 1 hour
h4 - 1 hour
d1 - 1 day
w1 - 1 week
mn1 - 1 month
"testUSDCHF_TP": {
...
"tick_data": {
"channel": "tradepython.com",
"api_token": "YOUR-API-TOKEN",
"source": "account@account-server",
"format": "json",
"period": 30,
"timeframe": "m1"
},
...
}
Script Samples
-
Buy or sell a product
errid, order_uid = Buy(volume=volume, price=Ask()) errid, order_uid = Sell(volume=0.01, price=Bid())
-
Modify an order
errid, order_uid = ModifyOrder(order_uid, stop_loss=stop_loss, take_profit=take_profit)
-
Close an order
errid, order_uid = CloseOrder(order_uid, price=Ask(), volume=volume)
-
Get the current open order UIDs
uids = GetOpenedOrderUIDs() for uid in uids: o = GetOrder(uid)
API
=======
```python
AccountEquity(self)
Returns the equity.
Returns:
The account equity.
AccountFreeMargin(self)
Returns the free margin.
Returns:
The free margin.
Ask(self, shift=0) -> float
Returns Ask price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Ask price.
Bid(self, shift=0) -> float
Returns Bid price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Bid price.
Buy(self, volume: float, type=0, price=None, stop_loss=None, take_profit=None, magic_number=None, symbol=None, slippage=None, arrow_color=None, expiration=None) -> (<function NewType.<locals>.new_type at 0x7fe120629dc0>, <function NewType.<locals>.new_type at 0x7fe122ed0940>)
Open a buy order.
Parameters:
volume (float): Number of lots.
type (OrderType): Order type.
price (float): Order price. If price is None, price = Ask().
stop_loss (float): Stop loss price.
take_profit (float): Take profit price.
magic_number (float): Order magic number.
symbol (float): Symbol for trading.
slippage (float): Maximum price slippage for trading.
arrow_color (float): Color of the opening arrow on the MT4/5 chart.
expiration (float): Order expiration time (for pending order only)
Returns:
ErrorID: If 0 success.
OrderResult: The order result.
Close(self, shift=0) -> float
Returns Close price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Close price.
CloseOrder(self, uid, price, volume: float, slippage=None, arrow_color=None) -> (<function NewType.<locals>.new_type at 0x7fe120629dc0>, <function NewType.<locals>.new_type at 0x7fe122ed0940>)
Close a order.
Parameters:
uid : The order UID.
price (float): Close price.
volume (float): Number of lots.
slippage (float): Maximum price slippage for trading.
arrow_color (float): New color of the opening arrow on the MT4/5 chart.
Returns:
ErrorID: If 0 success.
OrderResult: The order result.
DefaultTimeFrame(self)
Returns the default time frame.
GetAccount(self)
Returns the account data.
Returns:
The account data.
GetClosedOrderUIDs(self, symbol: str = None)
Returns the UIDs of current closed orders.
Parameters:
symbol: The symbol name.
If None returns current symbol.
If '*' returns all symbols.
Returns:
The uid list.
GetOpenedOrderUIDs(self, symbol: str = None)
Returns the UIDs of current opened orders.
Parameters:
symbol: The symbol name.
If None returns current symbol.
If '*' returns all symbols.
Returns:
The uid list.
GetOrder(self, order_uid: <function NewType.<locals>.new_type at 0x7fe122ed0940>)
Returns the order object.
Parameters:
order_uid (): The order uid.
Returns:
The order object.
GetParam(self, name, default=None)
Returns the EA parameter value.
Parameters:
name (): The EA parameter name.
default (int): The EA parameter default value.
Returns:
The EA parameter value.
GetPendingOrderUIDs(self, symbol: str = None)
Returns the UIDs of current pending orders.
Parameters:
symbol: The symbol name.
If None returns current symbol.
If '*' returns all symbols.
Returns:
The uid list.
GetSymbol(self, symbol=None)
Returns the symbol properties.
Parameters:
symbol (int): The symbol name.
Returns:
The symbol properties
GetSymbolData(self, symbol: str, timeframe: str, size: int)
Get a symbol data.
Parameters:
symbol (str): Symbol name.
timeframe (str): Timeframe. See the TimeFrame defining.
size (int): Maximum size.
Returns:
Symbol data
High(self, shift=0) -> float
Returns High price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
High price.
Low(self, shift=0) -> float
Returns Low price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Low price.
ModifyOrder(self, uid, price=None, stop_loss=None, take_profit=None, arrow_color=None, expiration=None) -> (<function NewType.<locals>.new_type at 0x7fe120629dc0>, <function NewType.<locals>.new_type at 0x7fe122ed0940>)
Modify a order.
Parameters:
uid : The order UID.
price (float): New open price. (for pending order only)
stop_loss (float): New stop loss price.
take_profit (float): New take profit price.
arrow_color (float): New color of the opening arrow on the MT4/5 chart.
expiration (float): New order expiration time (for pending order only)
Returns:
ErrorID: If 0 success.
OrderResult: The order result.
Open(self, shift=0) -> float
Returns Open price value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Open price.
OrderStats(self, order_uids)
Returns the order statistics.
Parameters:
order_uids : the list of order uids.
Returns:
The order statistics.
Sell(self, volume: float, type=0, price=None, stop_loss=None, take_profit=None, magic_number=None, symbol=None, slippage=None, arrow_color=None, expiration=None) -> (<function NewType.<locals>.new_type at 0x7fe120629dc0>, <function NewType.<locals>.new_type at 0x7fe122ed0940>)
Open a sell order.
Parameters:
volume (float): Number of lots.
type (OrderType): Order type.
price (float): Order price. If price is None, price = Bid().
stop_loss (float): Stop loss price.
take_profit (float): Take profit price.
magic_number (float): Order magic number.
symbol (float): Symbol for trading.
slippage (float): Maximum price slippage for trading.
arrow_color (float): Color of the opening arrow on the MT4/5 chart.
expiration (float): Order expiration time (for pending order only)
Returns:
ErrorID: If 0 success.
OrderResult: The order result.
StopTester(self, code: int = 0, message: str = None)
Stop the EA tester. (For tester only.)
Parameters:
code (int): Error code.
message (str): Error message.
Returns:
None
Symbol(self) -> str
Returns the current symbol name.
Returns:
The symbol name.
SymbolInfo(self, item, symbol=None, default=None)
Returns the symbol information.
Parameters:
item (str): The symbol item name.
symbol (str): The symbol name.
default (): The default value.
Returns:
The symbol information.
Time(self, shift=0) -> datetime.datetime
Returns time value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Time.
Volume(self, shift=0) -> float
Returns volume value for the default symbol with default timeframe and shift.
Parameters:
shift (int): Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Volume price.
__init__(self)
Initialize self. See help(type(self)) for accurate signature.
iAD(self, symbol_data, shift=0)
Chaikin A/D Line (Volume Indicators)
Parameters:
symbol_data (object): The symbol data.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Chaikin A/D Line
iADX(self, symbol_data, timeperiod, shift=0)
Average Directional Movement Index (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Average Directional Movement Index
iATR(self, symbol_data, timeperiod, shift=0)
Average True Range (Volatility Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Average True Range
iBands(self, symbol_data, timeperiod, nbdevup, nbdevdn, matype, shift=0)
Bollinger Bands (Overlap Studies)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
nbdevup (int): 2
nbdevdn (int): 2
ma_type: 0 (Simple Moving Average) ,For details see the TA-LIB
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Bollinger Bands
iCCI(self, symbol_data, timeperiod, shift=0)
Commodity Channel Index (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Commodity Channel Index
iChaikin(self, symbol_data, fastperiod, slowperiod, shift=0)
Chaikin A/D Oscillator (Volume Indicators)
Parameters:
symbol_data (object): The symbol data.
fastperiod (int): The fast period.
slowperiod (int): The low period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Chaikin A/D Oscillator
iDEMA(self, symbol_data, timeperiod, shift=0)
Double Exponential Moving Average (Overlap Studies)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Double Exponential Moving Average
iMA(self, price_data, period, ma_type, shift=0)
Calculates the Moving Average indicator and returns its value.
Parameters:
price_data (object): The price data. (Close, Open, Low, etc...)
period (int): Averaging period for calculation.
ma_type: 0 (Simple Moving Average) ,For details see the TA-LIB
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Moving average value.
iMACD(self, symbol_data, fastperiod, slowperiod, signalperiod, shift=0)
Moving Average Convergence/Divergence (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
fastperiod (int): The fast period.
slowperiod (int): The slow period.
signalperiod (int): The signal period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Moving Average Convergence/Divergence
iMFI(self, symbol_data, timeperiod, shift=0)
Money Flow Index (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Money Flow Index
iMomentum(self, symbol_data, timeperiod, shift=0)
Momentum (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Momentum
iOBV(self, symbol_data, shift=0)
On Balance Volume (Volume Indicators)
Parameters:
symbol_data (object): The symbol data.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
On Balance Volume
iRSI(self, symbol_data, timeperiod, shift=0)
Relative Strength Index (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Relative Strength Index
iSAR(self, symbol_data, acceleration, maximum, shift=0)
Parabolic SAR (Overlap Studies)
Parameters:
symbol_data (object): The symbol data.
acceleration (int): 0.02
maximum (int): 0.2
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Parabolic SAR
iStdDev(self, symbol_data, timeperiod, nbdev, shift=0)
Standard Deviation (Statistic Functions)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
nbdev (int): 1
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Standard Deviation
iStochastic(self, symbol_data, fastk_period, slowk_period, slowk_matype, slowd_period, slowd_matype, shift=0)
Stochastic (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
fastk_period (int): 5
slowk_period (int): 3
slowk_matype (int): 0
slowd_period (int): 3
slowd_matype (int): 0
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Stochastic
iTEMA(self, symbol_data, timeperiod, shift=0)
Triple Exponential Moving Average (Overlap Studies)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Triple Exponential Moving Average
iWPR(self, symbol_data, timeperiod, shift=0)
Williams' %R (Momentum Indicators)
Parameters:
symbol_data (object): The symbol data.
timeperiod (int): The time period.
shift: Index of the value taken from the buffer
(shift relative to the current the given amount of periods ago).
Returns:
Williams' %R
WaitCommand(self, uid, timeout=120)
Waiting for a asynchronous command execution。
Parameters:
uid : The command UID.
timeout : Timeout （seconds）
Returns:
ErrorID: If 0 success.
CommandResult: If failed returns None.
AcquireLock(self, name, timeout=60) -> bool:
'''
Acquire a lock
Parameters:
name : The lock name
timeout : Lock timeout （seconds）
Returns:
If True success.
'''
raise NotImplementedError
ReleaseLock(self, name):
'''
Release a lock。
Parameters:
name : The lock name
'''
raise NotImplementedError
[2021-06-07]
Version:
Package:
pixiu: 0.36.2.20210607
Descriptions：
1.fix dependencies bugs
remove oeoeweb library
add pymongo library
2.fix sample.py, sample2.py errors.
3.API add AcquireLock, ReleaseLock
[2021-06-04]
Version:
Package:
pixiu: 0.35.0.20210604
Descriptions：
1.Modify API:
1)
def CloseOrder(self, uid, price, volume: float, slippage=None, arrow_color=None) -> (ErrorID, OrderResult)
->
def CloseOrder(self, uid, volume=None, price=None, slippage=None, arrow_color=None) -> (ErrorID, OrderResult)
2.fix:
__valid_order__: EID_EAT_INVALID_ORDER_CLOSE_PRICE
3.Add:
__order_close_price__
[2021-06-03]
Version:
Package:
pixiu: 0.34.0.20210603
Descriptions：
1.fix bugs GetSymbolData('*')
2.
self.orders['ds'] -> order['__ds__']
self.account_info['ds'] -> self.account_info['__ds__']
3.Add build-in :
datetime, timedelta, random
[2021-06-01]
Version:
Package:
pixiu: 0.33.0.20210601
Descriptions：
1.add APIs:
WaitCommand
2.modify APIs:
Buy, Sell, CloseOrder, ModifyOrder return order_uid -> OrderResult
[2021-05-31]
Version:
Package:
pixiu: 0.32.0.20210531
Descriptions：
1.fix EATesterPrintCollector._call_print write_log bug
[2021-05-30]
Version:
Package:
pixiu: 0.31.0.20210530
Descriptions：
1. get_url_data add headers
[2021-05-29]
Version:
Package:
pixiu: 0.30.0.20210529
Descriptions：
1.Add output
[2021-05-28]
Version:
Package:
pixiu: 0.29.0.20210528
Descriptions：
1.Struct project directories
2.Complete README.txt
[2021-05-27]
Version:
Package:
pixiu: 0.28.0.20210527
Descriptions：
1.Add load channel
[2021-05-26]
Version:
Package:
pixiu: 0.27.0.20210526
Descriptions：
1.Add PXTester, main
[2021-05-24]
Version:
Package:
pixiu: 0.26.0.20210524
Descriptions：
1. api add help doc string
[2021-05-22]
Version:
Package:
pixiu: 0.25.0.20210522
Descriptions：
1.add language
2.fix sl/tp error:
ds[((ds['sl'] > 0) & (ds['sl_p'] <= 0)) | ((ds['tp'] > 0) & (ds['tp_p'] >= 0))]
3.api:
Dict - > UIDs
def GetOpenedOrderUIDs(self, symbol: str = None)
def GetPendingOrderUIDs(self, symbol: str = None)
def GetClosedOrderUIDs(self, symbol: str = None)
[2021-05-19]
Version:
Package:
pixiu: 0.24.0.20210519
Descriptions：
1.add test_pixiu set_test_result
[2021-05-18]
Version:
Package:
pixiu: 0.23.0.20210518
Descriptions：
[2021-05-17]
Version:
Package:
pixiu: 0.22.0.20210517
Descriptions：
1.SymbolIndicator, SymbolPrice, SymbolTime, SymbolData arguments.
[2021-05-15]
Version:
Package:
pixiu: 0.21.0.20210515
Descriptions：
[2021-05-13]
Version:
Package:
pixiu: 0.20.0.20210513
Descriptions：
[2021-05-11]
Version:
Package:
pixiu: 0.19.0.20210511
Descriptions：
1.fix ea_tester some bugs
[2021-05-10]
Version:
Package:
pixiu: 0.18.0.20210510
Descriptions：
[2021-05-09]
Version:
Package:
pixiu: 0.17.0.20210509
Descriptions：
1. Buy, Sell, ModifyOrder remove arguments comment
[2021-05-08]
Version:
Package:
pixiu: 0.16.0.20210508
Descriptions：
1.
[2021-05-07]
Version:
Package:
pixiu: 0.15.0.20210507
Descriptions：
1. def GetSymbolData(self, symbol: str, timeframe: str, count: int)
[2021-05-06]
Version:
Package:
pixiu: 0.14.0.20210506
Descriptions：
1. some fixs
[2021-05-01]
Version:
Package:
pixiu: 0.13.0.20210501
Descriptions：
1.Add test open, modify, close in the EAT testing.
[2021-04-30]
Version:
Package:
pixiu: 0.12.0.20210430
Descriptions：
1.Finish EAT's 7 tests.
[2021-04-29]
Version:
Package:
pixiu: 0.11.0.20210429
Descriptions：
1.Add Account, Symbol Classes
2.Add ts_order, ts_base
[2021-04-28]
Version:
Package:
pixiu: 0.10.0.20210428
Descriptions：
1.Add some methods
[2021-04-27]
Version:
Package:
pixiu: 0.9.0.20210427
Descriptions：
[2021-04-26]
Version:
Package:
pixiu: 0.8.0.20210426
Descriptions：
1. Add test_ea_tester_func_indicators
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