fast-trading-simulator 0.0.2__py3-none-any.whl

fast_trading_simulator/simulate.py

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+import numba
+import numpy as np
+
+
+@numba.njit
+def simulate(
+    sim_data: np.ndarray,
+    timeout: int,
+    take_profit: float,
+    stop_loss: float,
+    fee: float,
+    init_cash=10e3,
+    min_cash=10,
+    alloc_ratio=0.01,
+    min_pos=0.5,
+):
+    worth = cash_left = init_cash
+    open_trades = {}
+    done_trades = []
+
+    TIME, SYMBOL, FIELD = sim_data.shape
+    sim_data[:, :, 2] = np.round(sim_data[:, :, 2], 2)
+
+    for t in range(TIME):
+
+        for id, trade in list(open_trades.items()):
+            t1, s1, pos1, price1, cash1 = trade[:5]
+            time2, price2, _ = sim_data[t, int(s1)]
+            dt = t - t1
+            pr = np.sign(pos1) * (price2 / price1 - 1) - fee
+            if dt >= timeout or pr >= take_profit or pr <= stop_loss:
+                cash_left += cash1 * (1 + pr)
+                worth += cash1 * pr
+                del open_trades[id]
+                trade[-3:] = dt, pr, worth
+                done_trades.append(trade)
+
+        for s in range(SYMBOL):
+            time, price, pos = sim_data[t, s]
+            if abs(pos) >= min_pos:
+                cash = int(min(cash_left, worth * alloc_ratio * abs(pos)))
+                id = int((s + 1) * np.sign(pos))
+                if cash >= min_cash and id not in open_trades:
+                    cash_left -= cash
+                    open_trades[id] = np.array([t, s, pos, price, cash, 0.0, 0.0, 0.0])
+
+    return done_trades

fast_trading_simulator-0.0.2.dist-info/METADATA

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+Metadata-Version: 2.4
+Name: fast-trading-simulator
+Version: 0.0.2
+Summary: Numba accelerated minimalist trading simulator
+Home-page: https://github.com/SerenaTradingResearch/fast-trading-simulator
+Author: Ricky Ding
+Author-email: e0134117@u.nus.edu
+License: MIT
+Keywords: trading,simulator,numba,quant,minimalist
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Topic :: Office/Business :: Financial
+Requires-Python: >=3.8
+Description-Content-Type: text/markdown
+Requires-Dist: numba
+Requires-Dist: numpy
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: license
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+
+## Intro
+
+- `Numba` accelerated `minimalist` trading simulator
+- In `28 lines`:
+  - Multi-symbol
+  - Multi-position, long & short, continuous from -1 to 1
+  - Timeout, take-profit, stop-loss, trading fee
+  - Initial cash, minimum cash, **allocation ratio (risk control)**
+
+![](https://raw.githubusercontent.com/SerenaTradingResearch/fast-trading-simulator/refs/heads/main/test/simulate.png)
+
+## Usage
+
+```bash
+pip install fast-trading-simulator
+```
+
+- [Simulation data (2025-07-01 to 2025-08-01)](https://raw.githubusercontent.com/SerenaTradingResearch/fast-trading-simulator/refs/heads/main/test/futures_sim_data_2025-07-01_2025-08-01.pkl)
+
+```py
+from typing import Dict
+
+import numpy as np
+from crypto_data_downloader.utils import load_pkl
+from trading_models.utils import plot_general
+
+from fast_trading_simulator.simulate import simulate
+
+data: Dict = load_pkl("futures_sim_data_2025-07-01_2025-08-01.pkl", gz=True)
+sim_data: Dict[str, Dict[str, np.ndarray]] = data["sim_data"]
+# for sym, x in sim_data.items():
+#     x["position"] = custom_strategy(x["close"])
+symbols = list(sim_data.keys())
+fields = list(sim_data["BTCUSDT"].keys())
+arr = np.array([list(x.values()) for x in sim_data.values()])
+arr = arr.transpose((2, 0, 1))
+
+print(f"data keys: {list(data.keys())}")
+print(f"arr.shape: {arr.shape} (time, symbols, fields)")
+print(f"{len(symbols)} symbols: {symbols[:3]}...")
+print(f"{len(fields)} fields: {fields}")
+"""
+timeout: int, number of time steps
+take_profit: float, e.g. 0.01 (1%)
+stop_loss: float, e.g. -0.3 (-30%)
+fee: float, buy+sell total, e.g. 7e-4 (0.07%)
+"""
+
+data["sim_data"] = arr
+trades = np.array(simulate(**data, init_cash=10e3, alloc_ratio=0.005))
+plots = {
+    f"worth ({len(trades)} trades)": trades[:, -1],
+    "position_hist": trades[:, 2],
+    "duration_hist": trades[:, -3],
+    "profit_hist": trades[:, -2],
+}
+plot_general(plots, "simulate")
+
+```
+
+- Output
+
+```bash
+data keys: ['sim_data', 'timeout', 'take_profit', 'stop_loss', 'fee']
+arr.shape: (8417, 482, 3) (time, symbols, fields)
+482 symbols: ['BTCUSDT', 'ETHUSDT', 'BCHUSDT']...
+3 fields: ['open_time', 'close', 'position']
+```

fast_trading_simulator-0.0.2.dist-info/RECORD

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+fast_trading_simulator/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+fast_trading_simulator/simulate.py,sha256=u0m-gwiVgASThnwxas4Aj4wJlOPTG2YmpRamXqK2Rug,1412
+fast_trading_simulator-0.0.2.dist-info/METADATA,sha256=o1Oop9qu_T0k6dd5P1EunbNRkQew65XvY8GsGsGyak4,2923
+fast_trading_simulator-0.0.2.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+fast_trading_simulator-0.0.2.dist-info/top_level.txt,sha256=2NFj3ZJtd7rkdp_xQ-YNo8skhP0qrkxqA-dCJsrs8IQ,23
+fast_trading_simulator-0.0.2.dist-info/RECORD,,

fast_trading_simulator-0.0.2.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: setuptools (80.9.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

fast_trading_simulator-0.0.2.dist-info/top_level.txt

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+fast_trading_simulator