fast-trading-simulator 0.0.2__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- fast_trading_simulator-0.0.2/MANIFEST.in +1 -0
- fast_trading_simulator-0.0.2/PKG-INFO +97 -0
- fast_trading_simulator-0.0.2/README.md +69 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator/__init__.py +0 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator/simulate.py +47 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator.egg-info/PKG-INFO +97 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator.egg-info/SOURCES.txt +12 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator.egg-info/dependency_links.txt +1 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator.egg-info/requires.txt +2 -0
- fast_trading_simulator-0.0.2/fast_trading_simulator.egg-info/top_level.txt +1 -0
- fast_trading_simulator-0.0.2/requirements.txt +2 -0
- fast_trading_simulator-0.0.2/setup.cfg +4 -0
- fast_trading_simulator-0.0.2/setup.py +25 -0
- fast_trading_simulator-0.0.2/test/test.py +37 -0
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include requirements.txt
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Metadata-Version: 2.4
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Name: fast-trading-simulator
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Version: 0.0.2
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Summary: Numba accelerated minimalist trading simulator
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Home-page: https://github.com/SerenaTradingResearch/fast-trading-simulator
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Author: Ricky Ding
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Author-email: e0134117@u.nus.edu
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License: MIT
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Keywords: trading,simulator,numba,quant,minimalist
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Classifier: License :: OSI Approved :: MIT License
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Classifier: Programming Language :: Python :: 3
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Classifier: Topic :: Office/Business :: Financial
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Requires-Python: >=3.8
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Description-Content-Type: text/markdown
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Requires-Dist: numba
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Requires-Dist: numpy
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Dynamic: author
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Dynamic: author-email
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Dynamic: classifier
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Dynamic: description
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Dynamic: description-content-type
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Dynamic: home-page
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Dynamic: keywords
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Dynamic: license
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Dynamic: requires-dist
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Dynamic: requires-python
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Dynamic: summary
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## Intro
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- `Numba` accelerated `minimalist` trading simulator
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- In `28 lines`:
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- Multi-symbol
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- Multi-position, long & short, continuous from -1 to 1
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- Timeout, take-profit, stop-loss, trading fee
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- Initial cash, minimum cash, **allocation ratio (risk control)**
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## Usage
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```bash
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pip install fast-trading-simulator
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```
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- [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)
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```py
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from typing import Dict
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import numpy as np
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from crypto_data_downloader.utils import load_pkl
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from trading_models.utils import plot_general
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from fast_trading_simulator.simulate import simulate
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data: Dict = load_pkl("futures_sim_data_2025-07-01_2025-08-01.pkl", gz=True)
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sim_data: Dict[str, Dict[str, np.ndarray]] = data["sim_data"]
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# for sym, x in sim_data.items():
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# x["position"] = custom_strategy(x["close"])
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symbols = list(sim_data.keys())
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fields = list(sim_data["BTCUSDT"].keys())
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arr = np.array([list(x.values()) for x in sim_data.values()])
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arr = arr.transpose((2, 0, 1))
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print(f"data keys: {list(data.keys())}")
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print(f"arr.shape: {arr.shape} (time, symbols, fields)")
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print(f"{len(symbols)} symbols: {symbols[:3]}...")
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print(f"{len(fields)} fields: {fields}")
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"""
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timeout: int, number of time steps
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take_profit: float, e.g. 0.01 (1%)
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stop_loss: float, e.g. -0.3 (-30%)
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fee: float, buy+sell total, e.g. 7e-4 (0.07%)
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"""
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data["sim_data"] = arr
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trades = np.array(simulate(**data, init_cash=10e3, alloc_ratio=0.005))
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plots = {
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f"worth ({len(trades)} trades)": trades[:, -1],
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"position_hist": trades[:, 2],
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"duration_hist": trades[:, -3],
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"profit_hist": trades[:, -2],
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}
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plot_general(plots, "simulate")
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```
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- Output
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```bash
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data keys: ['sim_data', 'timeout', 'take_profit', 'stop_loss', 'fee']
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arr.shape: (8417, 482, 3) (time, symbols, fields)
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482 symbols: ['BTCUSDT', 'ETHUSDT', 'BCHUSDT']...
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3 fields: ['open_time', 'close', 'position']
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```
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## Intro
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4
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- `Numba` accelerated `minimalist` trading simulator
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5
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+
- In `28 lines`:
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6
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+
- Multi-symbol
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7
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- Multi-position, long & short, continuous from -1 to 1
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8
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+
- Timeout, take-profit, stop-loss, trading fee
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9
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- Initial cash, minimum cash, **allocation ratio (risk control)**
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10
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+
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## Usage
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```bash
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pip install fast-trading-simulator
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```
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- [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)
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```py
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from typing import Dict
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import numpy as np
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from crypto_data_downloader.utils import load_pkl
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from trading_models.utils import plot_general
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from fast_trading_simulator.simulate import simulate
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data: Dict = load_pkl("futures_sim_data_2025-07-01_2025-08-01.pkl", gz=True)
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sim_data: Dict[str, Dict[str, np.ndarray]] = data["sim_data"]
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# for sym, x in sim_data.items():
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# x["position"] = custom_strategy(x["close"])
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symbols = list(sim_data.keys())
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fields = list(sim_data["BTCUSDT"].keys())
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arr = np.array([list(x.values()) for x in sim_data.values()])
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arr = arr.transpose((2, 0, 1))
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print(f"data keys: {list(data.keys())}")
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print(f"arr.shape: {arr.shape} (time, symbols, fields)")
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print(f"{len(symbols)} symbols: {symbols[:3]}...")
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print(f"{len(fields)} fields: {fields}")
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"""
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timeout: int, number of time steps
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take_profit: float, e.g. 0.01 (1%)
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stop_loss: float, e.g. -0.3 (-30%)
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fee: float, buy+sell total, e.g. 7e-4 (0.07%)
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"""
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data["sim_data"] = arr
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trades = np.array(simulate(**data, init_cash=10e3, alloc_ratio=0.005))
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plots = {
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f"worth ({len(trades)} trades)": trades[:, -1],
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"position_hist": trades[:, 2],
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"duration_hist": trades[:, -3],
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"profit_hist": trades[:, -2],
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}
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plot_general(plots, "simulate")
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```
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- Output
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```bash
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data keys: ['sim_data', 'timeout', 'take_profit', 'stop_loss', 'fee']
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arr.shape: (8417, 482, 3) (time, symbols, fields)
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482 symbols: ['BTCUSDT', 'ETHUSDT', 'BCHUSDT']...
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3 fields: ['open_time', 'close', 'position']
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```
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File without changes
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import numba
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import numpy as np
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@numba.njit
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def simulate(
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sim_data: np.ndarray,
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timeout: int,
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take_profit: float,
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stop_loss: float,
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fee: float,
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init_cash=10e3,
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min_cash=10,
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alloc_ratio=0.01,
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min_pos=0.5,
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):
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worth = cash_left = init_cash
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open_trades = {}
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done_trades = []
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TIME, SYMBOL, FIELD = sim_data.shape
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sim_data[:, :, 2] = np.round(sim_data[:, :, 2], 2)
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for t in range(TIME):
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for id, trade in list(open_trades.items()):
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t1, s1, pos1, price1, cash1 = trade[:5]
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time2, price2, _ = sim_data[t, int(s1)]
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dt = t - t1
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pr = np.sign(pos1) * (price2 / price1 - 1) - fee
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if dt >= timeout or pr >= take_profit or pr <= stop_loss:
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cash_left += cash1 * (1 + pr)
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worth += cash1 * pr
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del open_trades[id]
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trade[-3:] = dt, pr, worth
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done_trades.append(trade)
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for s in range(SYMBOL):
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time, price, pos = sim_data[t, s]
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if abs(pos) >= min_pos:
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cash = int(min(cash_left, worth * alloc_ratio * abs(pos)))
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id = int((s + 1) * np.sign(pos))
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if cash >= min_cash and id not in open_trades:
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cash_left -= cash
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open_trades[id] = np.array([t, s, pos, price, cash, 0.0, 0.0, 0.0])
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return done_trades
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Metadata-Version: 2.4
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Name: fast-trading-simulator
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Version: 0.0.2
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Summary: Numba accelerated minimalist trading simulator
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Home-page: https://github.com/SerenaTradingResearch/fast-trading-simulator
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Author: Ricky Ding
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Author-email: e0134117@u.nus.edu
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License: MIT
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Keywords: trading,simulator,numba,quant,minimalist
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Classifier: License :: OSI Approved :: MIT License
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Classifier: Programming Language :: Python :: 3
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Classifier: Topic :: Office/Business :: Financial
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Requires-Python: >=3.8
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Description-Content-Type: text/markdown
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Requires-Dist: numba
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Requires-Dist: numpy
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Dynamic: author
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Dynamic: author-email
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Dynamic: classifier
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Dynamic: description
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Dynamic: description-content-type
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Dynamic: home-page
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Dynamic: keywords
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Dynamic: license
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Dynamic: requires-dist
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Dynamic: requires-python
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Dynamic: summary
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## Intro
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31
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+
|
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32
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- `Numba` accelerated `minimalist` trading simulator
|
|
33
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+
- In `28 lines`:
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|
34
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+
- Multi-symbol
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|
35
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+
- Multi-position, long & short, continuous from -1 to 1
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|
36
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+
- Timeout, take-profit, stop-loss, trading fee
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|
37
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+
- Initial cash, minimum cash, **allocation ratio (risk control)**
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38
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+
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39
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+
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40
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+
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41
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## Usage
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42
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43
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```bash
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44
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pip install fast-trading-simulator
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45
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```
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46
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47
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- [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)
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```py
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50
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from typing import Dict
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51
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52
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import numpy as np
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53
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from crypto_data_downloader.utils import load_pkl
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54
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from trading_models.utils import plot_general
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from fast_trading_simulator.simulate import simulate
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data: Dict = load_pkl("futures_sim_data_2025-07-01_2025-08-01.pkl", gz=True)
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sim_data: Dict[str, Dict[str, np.ndarray]] = data["sim_data"]
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# for sym, x in sim_data.items():
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# x["position"] = custom_strategy(x["close"])
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symbols = list(sim_data.keys())
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fields = list(sim_data["BTCUSDT"].keys())
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arr = np.array([list(x.values()) for x in sim_data.values()])
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arr = arr.transpose((2, 0, 1))
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print(f"data keys: {list(data.keys())}")
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print(f"arr.shape: {arr.shape} (time, symbols, fields)")
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print(f"{len(symbols)} symbols: {symbols[:3]}...")
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print(f"{len(fields)} fields: {fields}")
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"""
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timeout: int, number of time steps
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take_profit: float, e.g. 0.01 (1%)
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stop_loss: float, e.g. -0.3 (-30%)
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fee: float, buy+sell total, e.g. 7e-4 (0.07%)
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"""
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data["sim_data"] = arr
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+
trades = np.array(simulate(**data, init_cash=10e3, alloc_ratio=0.005))
|
|
80
|
+
plots = {
|
|
81
|
+
f"worth ({len(trades)} trades)": trades[:, -1],
|
|
82
|
+
"position_hist": trades[:, 2],
|
|
83
|
+
"duration_hist": trades[:, -3],
|
|
84
|
+
"profit_hist": trades[:, -2],
|
|
85
|
+
}
|
|
86
|
+
plot_general(plots, "simulate")
|
|
87
|
+
|
|
88
|
+
```
|
|
89
|
+
|
|
90
|
+
- Output
|
|
91
|
+
|
|
92
|
+
```bash
|
|
93
|
+
data keys: ['sim_data', 'timeout', 'take_profit', 'stop_loss', 'fee']
|
|
94
|
+
arr.shape: (8417, 482, 3) (time, symbols, fields)
|
|
95
|
+
482 symbols: ['BTCUSDT', 'ETHUSDT', 'BCHUSDT']...
|
|
96
|
+
3 fields: ['open_time', 'close', 'position']
|
|
97
|
+
```
|
|
@@ -0,0 +1,12 @@
|
|
|
1
|
+
MANIFEST.in
|
|
2
|
+
README.md
|
|
3
|
+
requirements.txt
|
|
4
|
+
setup.py
|
|
5
|
+
fast_trading_simulator/__init__.py
|
|
6
|
+
fast_trading_simulator/simulate.py
|
|
7
|
+
fast_trading_simulator.egg-info/PKG-INFO
|
|
8
|
+
fast_trading_simulator.egg-info/SOURCES.txt
|
|
9
|
+
fast_trading_simulator.egg-info/dependency_links.txt
|
|
10
|
+
fast_trading_simulator.egg-info/requires.txt
|
|
11
|
+
fast_trading_simulator.egg-info/top_level.txt
|
|
12
|
+
test/test.py
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
fast_trading_simulator
|
|
@@ -0,0 +1,25 @@
|
|
|
1
|
+
from setuptools import find_packages, setup
|
|
2
|
+
|
|
3
|
+
with open("README.md", encoding="utf-8") as f:
|
|
4
|
+
long_description = f.read()
|
|
5
|
+
|
|
6
|
+
setup(
|
|
7
|
+
name="fast-trading-simulator",
|
|
8
|
+
version="0.0.2",
|
|
9
|
+
author="Ricky Ding",
|
|
10
|
+
author_email="e0134117@u.nus.edu",
|
|
11
|
+
description="Numba accelerated minimalist trading simulator",
|
|
12
|
+
long_description=long_description,
|
|
13
|
+
long_description_content_type="text/markdown",
|
|
14
|
+
url="https://github.com/SerenaTradingResearch/fast-trading-simulator",
|
|
15
|
+
packages=find_packages(),
|
|
16
|
+
install_requires=open("requirements.txt").read().splitlines(),
|
|
17
|
+
python_requires=">=3.8",
|
|
18
|
+
license="MIT",
|
|
19
|
+
keywords=["trading", "simulator", "numba", "quant", "minimalist"],
|
|
20
|
+
classifiers=[
|
|
21
|
+
"License :: OSI Approved :: MIT License",
|
|
22
|
+
"Programming Language :: Python :: 3",
|
|
23
|
+
"Topic :: Office/Business :: Financial",
|
|
24
|
+
],
|
|
25
|
+
)
|
|
@@ -0,0 +1,37 @@
|
|
|
1
|
+
from typing import Dict
|
|
2
|
+
|
|
3
|
+
import numpy as np
|
|
4
|
+
from crypto_data_downloader.utils import load_pkl
|
|
5
|
+
from trading_models.utils import plot_general
|
|
6
|
+
|
|
7
|
+
from fast_trading_simulator.simulate import simulate
|
|
8
|
+
|
|
9
|
+
data: Dict = load_pkl("futures_sim_data_2025-07-01_2025-08-01.pkl", gz=True)
|
|
10
|
+
sim_data: Dict[str, Dict[str, np.ndarray]] = data["sim_data"]
|
|
11
|
+
# for sym, x in sim_data.items():
|
|
12
|
+
# x["position"] = custom_strategy(x["close"])
|
|
13
|
+
symbols = list(sim_data.keys())
|
|
14
|
+
fields = list(sim_data["BTCUSDT"].keys())
|
|
15
|
+
arr = np.array([list(x.values()) for x in sim_data.values()])
|
|
16
|
+
arr = arr.transpose((2, 0, 1))
|
|
17
|
+
|
|
18
|
+
print(f"data keys: {list(data.keys())}")
|
|
19
|
+
print(f"arr.shape: {arr.shape} (time, symbols, fields)")
|
|
20
|
+
print(f"{len(symbols)} symbols: {symbols[:3]}...")
|
|
21
|
+
print(f"{len(fields)} fields: {fields}")
|
|
22
|
+
"""
|
|
23
|
+
timeout: int, number of time steps
|
|
24
|
+
take_profit: float, e.g. 0.01 (1%)
|
|
25
|
+
stop_loss: float, e.g. -0.3 (-30%)
|
|
26
|
+
fee: float, buy+sell total, e.g. 7e-4 (0.07%)
|
|
27
|
+
"""
|
|
28
|
+
|
|
29
|
+
data["sim_data"] = arr
|
|
30
|
+
trades = np.array(simulate(**data, init_cash=10e3, alloc_ratio=0.005))
|
|
31
|
+
plots = {
|
|
32
|
+
f"worth ({len(trades)} trades)": trades[:, -1],
|
|
33
|
+
"position_hist": trades[:, 2],
|
|
34
|
+
"duration_hist": trades[:, -3],
|
|
35
|
+
"profit_hist": trades[:, -2],
|
|
36
|
+
}
|
|
37
|
+
plot_general(plots, "simulate")
|