prosperity3bt 0.1.0__tar.gz

prosperity3bt-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2024 Jasper van Merle
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

prosperity3bt-0.1.0/PKG-INFO

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+Metadata-Version: 2.2
+Name: prosperity3bt
+Version: 0.1.0
+Summary: Backtester for IMC Prosperity 3 algorithms
+Author-email: Jasper van Merle <jaspervmerle@gmail.com>
+License: MIT License
+        
+        Copyright (c) 2024 Jasper van Merle
+        
+        Permission is hereby granted, free of charge, to any person obtaining a copy
+        of this software and associated documentation files (the "Software"), to deal
+        in the Software without restriction, including without limitation the rights
+        to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+        copies of the Software, and to permit persons to whom the Software is
+        furnished to do so, subject to the following conditions:
+        
+        The above copyright notice and this permission notice shall be included in all
+        copies or substantial portions of the Software.
+        
+        THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+        IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+        FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+        AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+        LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+        OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+        SOFTWARE.
+        
+Project-URL: Repository, https://github.com/jmerle/imc-prosperity-3-backtester
+Project-URL: Issues, https://github.com/jmerle/imc-prosperity-3-backtester/issues
+Project-URL: Changelog, https://github.com/jmerle/imc-prosperity-3-backtester/releases
+Keywords: imc,prosperity,backtest,backtester
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Requires-Python: >=3.9
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: ipython
+Requires-Dist: jsonpickle
+Requires-Dist: orjson
+Requires-Dist: tqdm
+
+# IMC Prosperity 3 Backtester
+
+[![Build Status](https://github.com/jmerle/imc-prosperity-3-backtester/workflows/Build/badge.svg)](https://github.com/jmerle/imc-prosperity-3-backtester/actions/workflows/build.yml)
+[![PyPI Version](https://img.shields.io/pypi/v/prosperity3bt)](https://pypi.org/project/prosperity3bt/)
+
+This repository contains a backtester [IMC Prosperity 3](https://prosperity.imc.com/) algorithms, based on [my backtester for Prosperity 2](https://github.com/jmerle/imc-prosperity-2-backtester). The output it generates closely matches the format of the output generated by the official submission environment and is therefore compatible with my [Prosperity 3 Visualizer](https://github.com/jmerle/imc-prosperity-3-visualizer) (assuming your code contains the visualizer's required prerequisites as explained on the visualizer's homepage).
+
+## Usage
+
+Basic usage:
+```sh
+# Install the latest version of the backtester
+$ pip install -U prosperity3bt
+
+# Run the backtester on an algorithm using all data from round 0
+$ prosperity3bt <path to algorithm file> 0
+```
+
+Run `pip install -U prosperity3bt` again when you want to update the backtester to the latest version.
+
+Some more usage examples:
+```sh
+# Backtest on all days from round 1
+$ prosperity3bt example/starter.py 1
+
+# Backtest on round 1 day 0
+$ prosperity3bt example/starter.py 1-0
+
+# Backtest on round 1 day -1 and round 1 day 0
+$ prosperity3bt example/starter.py 1--1 1-0
+
+# Backtest on all days from rounds 1 and 2
+$ prosperity3bt example/starter.py 1 2
+
+# You get the idea
+
+# Merge profit and loss across days
+$ prosperity3bt example/starter.py 1 --merge-pnl
+
+# Automatically open the result in the visualizer when done
+# Assumes your algorithm logs in the visualizer's expected format
+$ prosperity3bt example/starter.py 1 --vis
+
+# Write algorithm output to custom file
+$ prosperity3bt example/starter.py 1 --out example.log
+
+# Skip saving the output log to a file
+$ prosperity3bt example/starter.py 1 --no-out
+
+# Backtest on custom data
+# Requires the value passed to `--data` to be a path to a directory that is similar in structure to https://github.com/jmerle/imc-prosperity-3-backtester/tree/master/prosperity3bt/resources
+$ prosperity3bt example/starter.py 1 --data prosperity3bt/resources
+
+# Print trader's output to stdout while running
+# This may be helpful when debugging a broken trader
+$ prosperity3bt example/starter.py 1 --print
+
+# Only match orders against order depths, not against market trades
+$ prosperity3bt example/starter.py 1 --no-trades-matching
+```
+
+## Order Matching
+
+Orders placed by `Trader.run` at a given timestamp are matched against the order depths and market trades of that timestamp's state. Order depths take priority, if an order can be filled completely using volume in the relevant order depth, market trades are not considered. If not, the backtester matches your order against the timestamp's market trades. In this case the backtester assumes that for each trade, the buyer and the seller of the trade are willing to trade with you instead at the trade's price and volume. Market trades are matched at the price of your orders, e.g. if you place a sell order for €9 and there is a market trade for €10, the sell order is matched at €9 (even though there is a buyer willing to pay €10, this appears to be consistent with what the official Prosperity environment does).
+
+Limits are enforced before orders are matched to order depths. If for a product your position would exceed the limit, assuming all your orders would get filled, all your orders for that product get canceled.
+
+## Data Files
+
+Data for the following rounds is included:
+- Round 0: prices and anonymized trades data on RAINFOREST_RESIN and KELP that was used during tutorial submission runs.
+
+## Environment Variables
+
+During backtests two environment variables are set for the trader to know the round and day it's being backtested on. The environment variable named `PROSPERITY3BT_ROUND` contains the round number and `PROSPERITY3BT_DAY` contains the day number. Note that these environment variables do not exist in the official submission environment, so make sure the code you submit doesn't require them to be defined.
+
+## Development
+
+Follow these steps if you want to make changes to the backtester:
+1. Install [uv](https://docs.astral.sh/uv/).
+2. Clone (or fork and clone) this repository.
+3. Open a terminal in your clone of the repository.
+4. Create a venv with `uv venv` and activate it.
+5. Run `uv sync`.
+6. Any changes you make are now automatically taken into account the next time you run `prosperity3bt` inside the venv.

prosperity3bt-0.1.0/README.md

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+# IMC Prosperity 3 Backtester
+
+[![Build Status](https://github.com/jmerle/imc-prosperity-3-backtester/workflows/Build/badge.svg)](https://github.com/jmerle/imc-prosperity-3-backtester/actions/workflows/build.yml)
+[![PyPI Version](https://img.shields.io/pypi/v/prosperity3bt)](https://pypi.org/project/prosperity3bt/)
+
+This repository contains a backtester [IMC Prosperity 3](https://prosperity.imc.com/) algorithms, based on [my backtester for Prosperity 2](https://github.com/jmerle/imc-prosperity-2-backtester). The output it generates closely matches the format of the output generated by the official submission environment and is therefore compatible with my [Prosperity 3 Visualizer](https://github.com/jmerle/imc-prosperity-3-visualizer) (assuming your code contains the visualizer's required prerequisites as explained on the visualizer's homepage).
+
+## Usage
+
+Basic usage:
+```sh
+# Install the latest version of the backtester
+$ pip install -U prosperity3bt
+
+# Run the backtester on an algorithm using all data from round 0
+$ prosperity3bt <path to algorithm file> 0
+```
+
+Run `pip install -U prosperity3bt` again when you want to update the backtester to the latest version.
+
+Some more usage examples:
+```sh
+# Backtest on all days from round 1
+$ prosperity3bt example/starter.py 1
+
+# Backtest on round 1 day 0
+$ prosperity3bt example/starter.py 1-0
+
+# Backtest on round 1 day -1 and round 1 day 0
+$ prosperity3bt example/starter.py 1--1 1-0
+
+# Backtest on all days from rounds 1 and 2
+$ prosperity3bt example/starter.py 1 2
+
+# You get the idea
+
+# Merge profit and loss across days
+$ prosperity3bt example/starter.py 1 --merge-pnl
+
+# Automatically open the result in the visualizer when done
+# Assumes your algorithm logs in the visualizer's expected format
+$ prosperity3bt example/starter.py 1 --vis
+
+# Write algorithm output to custom file
+$ prosperity3bt example/starter.py 1 --out example.log
+
+# Skip saving the output log to a file
+$ prosperity3bt example/starter.py 1 --no-out
+
+# Backtest on custom data
+# Requires the value passed to `--data` to be a path to a directory that is similar in structure to https://github.com/jmerle/imc-prosperity-3-backtester/tree/master/prosperity3bt/resources
+$ prosperity3bt example/starter.py 1 --data prosperity3bt/resources
+
+# Print trader's output to stdout while running
+# This may be helpful when debugging a broken trader
+$ prosperity3bt example/starter.py 1 --print
+
+# Only match orders against order depths, not against market trades
+$ prosperity3bt example/starter.py 1 --no-trades-matching
+```
+
+## Order Matching
+
+Orders placed by `Trader.run` at a given timestamp are matched against the order depths and market trades of that timestamp's state. Order depths take priority, if an order can be filled completely using volume in the relevant order depth, market trades are not considered. If not, the backtester matches your order against the timestamp's market trades. In this case the backtester assumes that for each trade, the buyer and the seller of the trade are willing to trade with you instead at the trade's price and volume. Market trades are matched at the price of your orders, e.g. if you place a sell order for €9 and there is a market trade for €10, the sell order is matched at €9 (even though there is a buyer willing to pay €10, this appears to be consistent with what the official Prosperity environment does).
+
+Limits are enforced before orders are matched to order depths. If for a product your position would exceed the limit, assuming all your orders would get filled, all your orders for that product get canceled.
+
+## Data Files
+
+Data for the following rounds is included:
+- Round 0: prices and anonymized trades data on RAINFOREST_RESIN and KELP that was used during tutorial submission runs.
+
+## Environment Variables
+
+During backtests two environment variables are set for the trader to know the round and day it's being backtested on. The environment variable named `PROSPERITY3BT_ROUND` contains the round number and `PROSPERITY3BT_DAY` contains the day number. Note that these environment variables do not exist in the official submission environment, so make sure the code you submit doesn't require them to be defined.
+
+## Development
+
+Follow these steps if you want to make changes to the backtester:
+1. Install [uv](https://docs.astral.sh/uv/).
+2. Clone (or fork and clone) this repository.
+3. Open a terminal in your clone of the repository.
+4. Create a venv with `uv venv` and activate it.
+5. Run `uv sync`.
+6. Any changes you make are now automatically taken into account the next time you run `prosperity3bt` inside the venv.

prosperity3bt-0.1.0/prosperity3bt/__main__.py

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+import sys
+import webbrowser
+from argparse import ArgumentParser
+from collections import defaultdict
+from datetime import datetime
+from functools import partial, reduce
+from http.server import HTTPServer, SimpleHTTPRequestHandler
+from importlib import import_module, metadata, reload
+from pathlib import Path
+from typing import Any, Optional
+
+from prosperity3bt.data import has_day_data
+from prosperity3bt.file_reader import FileReader, FileSystemReader, PackageResourcesReader
+from prosperity3bt.models import BacktestResult
+from prosperity3bt.runner import run_backtest
+
+
+def parse_algorithm(algorithm: str) -> Any:
+    algorithm_path = Path(algorithm).expanduser().resolve()
+    if not algorithm_path.is_file():
+        raise ModuleNotFoundError(f"{algorithm_path} is not a file")
+
+    sys.path.append(str(algorithm_path.parent))
+    return import_module(algorithm_path.stem)
+
+
+def parse_data(data_root: Optional[str]) -> FileReader:
+    if data_root is not None:
+        return FileSystemReader(Path(data_root).expanduser().resolve())
+    else:
+        return PackageResourcesReader()
+
+
+def parse_days(file_reader: FileReader, days: list[str]) -> list[tuple[int, int]]:
+    parsed_days = []
+
+    for arg in days:
+        if "-" in arg:
+            round_num, day_num = map(int, arg.split("-", 1))
+
+            if not has_day_data(file_reader, round_num, day_num):
+                print(f"Warning: no data found for round {round_num} day {day_num}")
+                continue
+
+            parsed_days.append((round_num, day_num))
+        else:
+            round_num = int(arg)
+
+            parsed_days_in_round = []
+            for day_num in range(-5, 6):
+                if has_day_data(file_reader, round_num, day_num):
+                    parsed_days_in_round.append((round_num, day_num))
+
+            if len(parsed_days_in_round) == 0:
+                print(f"Warning: no data found for round {round_num}")
+                continue
+
+            parsed_days.extend(parsed_days_in_round)
+
+    if len(parsed_days) == 0:
+        print("Error: did not find data for any requested round/day")
+        sys.exit(1)
+
+    return parsed_days
+
+
+def parse_out(out: Optional[str], no_out: bool) -> Optional[Path]:
+    if out is not None:
+        return Path(out).expanduser().resolve()
+
+    if no_out:
+        return None
+
+    timestamp = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
+    return Path.cwd() / "backtests" / f"{timestamp}.log"
+
+
+def print_day_summary(result: BacktestResult) -> None:
+    last_timestamp = result.activity_logs[-1].timestamp
+
+    product_lines = []
+    total_profit = 0
+
+    for row in reversed(result.activity_logs):
+        if row.timestamp != last_timestamp:
+            break
+
+        product = row.columns[2]
+        profit = row.columns[-1]
+
+        product_lines.append(f"{product}: {profit:,.0f}")
+        total_profit += profit
+
+    print(*reversed(product_lines), sep="\n")
+    print(f"Total profit: {total_profit:,.0f}")
+
+
+def merge_results(
+    a: BacktestResult, b: BacktestResult, merge_profit_loss: bool, merge_timestamps: bool
+) -> BacktestResult:
+    sandbox_logs = a.sandbox_logs[:]
+    activity_logs = a.activity_logs[:]
+    trades = a.trades[:]
+
+    if merge_timestamps:
+        a_last_timestamp = a.activity_logs[-1].timestamp
+        timestamp_offset = a_last_timestamp + 100
+    else:
+        timestamp_offset = 0
+
+    sandbox_logs.extend([row.with_offset(timestamp_offset) for row in b.sandbox_logs])
+    trades.extend([row.with_offset(timestamp_offset) for row in b.trades])
+
+    if merge_profit_loss:
+        profit_loss_offsets = defaultdict(float)
+        for row in reversed(a.activity_logs):
+            if row.timestamp != a_last_timestamp:
+                break
+
+            profit_loss_offsets[row.columns[2]] = row.columns[-1]
+
+        activity_logs.extend(
+            [row.with_offset(timestamp_offset, profit_loss_offsets[row.columns[2]]) for row in b.activity_logs]
+        )
+    else:
+        activity_logs.extend([row.with_offset(timestamp_offset, 0) for row in b.activity_logs])
+
+    return BacktestResult(a.round_num, a.day_num, sandbox_logs, activity_logs, trades)
+
+
+def write_output(output_file: Path, merged_results: BacktestResult) -> None:
+    output_file.parent.mkdir(parents=True, exist_ok=True)
+    with output_file.open("w+", encoding="utf-8") as file:
+        file.write("Sandbox logs:\n")
+        for row in merged_results.sandbox_logs:
+            file.write(str(row))
+
+        file.write("\n\n\nActivities log:\n")
+        file.write(
+            "day;timestamp;product;bid_price_1;bid_volume_1;bid_price_2;bid_volume_2;bid_price_3;bid_volume_3;ask_price_1;ask_volume_1;ask_price_2;ask_volume_2;ask_price_3;ask_volume_3;mid_price;profit_and_loss\n"
+        )
+        file.write("\n".join(map(str, merged_results.activity_logs)))
+
+        file.write("\n\n\n\n\nTrade History:\n")
+        file.write("[\n")
+        file.write(",\n".join(map(str, merged_results.trades)))
+        file.write("]")
+
+
+def print_overall_summary(results: list[BacktestResult]) -> None:
+    print("Profit summary:")
+
+    total_profit = 0
+    for result in results:
+        last_timestamp = result.activity_logs[-1].timestamp
+
+        profit = 0
+        for row in reversed(result.activity_logs):
+            if row.timestamp != last_timestamp:
+                break
+
+            profit += row.columns[-1]
+
+        print(f"Round {result.round_num} day {result.day_num}: {profit:,.0f}")
+        total_profit += profit
+
+    print(f"Total profit: {total_profit:,.0f}")
+
+
+class HTTPRequestHandler(SimpleHTTPRequestHandler):
+    def end_headers(self) -> None:
+        self.send_header("Access-Control-Allow-Origin", "*")
+        return super().end_headers()
+
+    def log_message(self, format: str, *args: Any) -> None:
+        return
+
+
+def open_visualizer(output_file: Path, no_requests: int) -> None:
+    http_handler = partial(HTTPRequestHandler, directory=output_file.parent)
+    http_server = HTTPServer(("localhost", 0), http_handler)
+
+    webbrowser.open(
+        f"https://jmerle.github.io/imc-prosperity-3-visualizer/?open=http://localhost:{http_server.server_port}/{output_file.name}"
+    )
+
+    # Chrome makes 2 requests: 1 OPTIONS request to check for CORS headers and 1 GET request to get the data
+    # Some users reported their browser only makes 1 request, which is covered by the --vis-requests option
+    for _ in range(no_requests):
+        http_server.handle_request()
+
+
+def format_path(path: Path) -> str:
+    cwd = Path.cwd()
+    if path.is_relative_to(cwd):
+        return str(path.relative_to(cwd))
+    else:
+        return str(path)
+
+
+def main() -> None:
+    parser = ArgumentParser(prog="prosperity3bt", description="Run a backtest.")
+    parser.add_argument("algorithm", type=str, help="path to the Python file containing the algoritm to backtest")
+    parser.add_argument(
+        "days",
+        type=str,
+        nargs="+",
+        help="the days to backtest on (<round>-<day> for a single day, <round> for all days in a round)",
+    )
+    parser.add_argument("--merge-pnl", action="store_true", help="merge profit and loss across days")
+    parser.add_argument("--vis", action="store_true", help="open backtest result in visualizer when done")
+    parser.add_argument("--out", type=str, help="path to save output log to (defaults to backtests/<timestamp>.log)")
+    parser.add_argument(
+        "--data",
+        type=str,
+        help="path to data directory (must look similar in structure to https://github.com/jmerle/imc-prosperity-3-backtester/tree/master/prosperity3bt/resources)",
+    )
+    parser.add_argument("--print", action="store_true", help="print the trader's output to stdout while it's running")
+    parser.add_argument(
+        "--no-trades-matching", action="store_true", help="disable matching orders against market trades"
+    )
+    parser.add_argument("--no-out", action="store_true", help="skip saving the output log to a file")
+    parser.add_argument("--no-progress", action="store_true", help="don't show progress bars")
+    parser.add_argument(
+        "--vis-requests",
+        type=int,
+        default=2,
+        help="number of requests the visualizer is expected to make to the backtester's HTTP server when using --vis",
+    )
+    parser.add_argument(
+        "--original-timestamps",
+        action="store_true",
+        help="preserve original timestamps in output log rather than making them increase across days",
+    )
+    # parser.add_argument(
+    #     "--no-names", action="store_true", help="don't use de-anonymized trades data, even if it exists"
+    # )
+    parser.add_argument("-v", "--version", action="version", version=f"%(prog)s {metadata.version(__package__)}")
+
+    args = parser.parse_args()
+
+    if args.vis and args.no_out:
+        print("Error: --vis and --no-out are mutually exclusive")
+        sys.exit(1)
+
+    if args.out is not None and args.no_out:
+        print("Error: --out and --no-out are mutually exclusive")
+        sys.exit(1)
+
+    try:
+        trader_module = parse_algorithm(args.algorithm)
+    except ModuleNotFoundError as e:
+        print(f"{args.algorithm} is not a valid algorithm file: {e}")
+        sys.exit(1)
+
+    if not hasattr(trader_module, "Trader"):
+        print(f"{args.algorithm} does not expose a Trader class")
+        sys.exit(1)
+
+    file_reader = parse_data(args.data)
+    days = parse_days(file_reader, args.days)
+    output_file = parse_out(args.out, args.no_out)
+
+    show_progress_bars = not args.no_progress and not args.print
+
+    results = []
+    for round_num, day_num in days:
+        print(f"Backtesting {args.algorithm} on round {round_num} day {day_num}")
+
+        reload(trader_module)
+
+        result = run_backtest(
+            trader_module.Trader(),
+            file_reader,
+            round_num,
+            day_num,
+            args.print,
+            args.no_trades_matching,
+            True,  # args.no_names,
+            show_progress_bars,
+        )
+
+        print_day_summary(result)
+        if len(days) > 1:
+            print()
+
+        results.append(result)
+
+    if len(days) > 1:
+        print_overall_summary(results)
+
+    if output_file is not None:
+        merged_results = reduce(lambda a, b: merge_results(a, b, args.merge_pnl, not args.original_timestamps), results)
+        write_output(output_file, merged_results)
+        print(f"\nSuccessfully saved backtest results to {format_path(output_file)}")
+
+    if args.vis:
+        open_visualizer(output_file, args.vis_requests)
+
+
+if __name__ == "__main__":
+    main()

prosperity3bt-0.1.0/prosperity3bt/data.py

@@ -0,0 +1,125 @@
+from collections import defaultdict
+from dataclasses import dataclass
+from typing import Optional
+
+from prosperity3bt.datamodel import Symbol, Trade
+from prosperity3bt.file_reader import FileReader
+
+LIMITS = {
+    "RAINFOREST_RESIN": 50,
+    "KELP": 50,
+}
+
+
+@dataclass
+class PriceRow:
+    day: int
+    timestamp: int
+    product: Symbol
+    bid_prices: list[int]
+    bid_volumes: list[int]
+    ask_prices: list[int]
+    ask_volumes: list[int]
+    mid_price: float
+    profit_loss: float
+
+
+def get_column_values(columns: list[str], indices: list[int]) -> list[int]:
+    values = []
+
+    for index in indices:
+        value = columns[index]
+        if value == "":
+            break
+
+        values.append(int(value))
+
+    return values
+
+
+@dataclass
+class BacktestData:
+    round_num: int
+    day_num: int
+
+    prices: dict[int, dict[Symbol, PriceRow]]
+    trades: dict[int, dict[Symbol, list[Trade]]]
+    products: list[Symbol]
+    profit_loss: dict[Symbol, int]
+
+
+def create_backtest_data(round_num: int, day_num: int, prices: list[PriceRow], trades: list[Trade]) -> BacktestData:
+    prices_by_timestamp: dict[int, dict[Symbol, PriceRow]] = defaultdict(dict)
+    for row in prices:
+        prices_by_timestamp[row.timestamp][row.product] = row
+
+    trades_by_timestamp: dict[int, dict[Symbol, list[Trade]]] = defaultdict(lambda: defaultdict(list))
+    for trade in trades:
+        trades_by_timestamp[trade.timestamp][trade.symbol].append(trade)
+
+    products = sorted(set(row.product for row in prices))
+    profit_loss = {product: 0 for product in products}
+
+    return BacktestData(
+        round_num=round_num,
+        day_num=day_num,
+        prices=prices_by_timestamp,
+        trades=trades_by_timestamp,
+        products=products,
+        profit_loss=profit_loss,
+    )
+
+
+def has_day_data(file_reader: FileReader, round_num: int, day_num: int) -> bool:
+    with file_reader.file([f"round{round_num}", f"prices_round_{round_num}_day_{day_num}.csv"]) as file:
+        return file is not None
+
+
+def read_day_data(file_reader: FileReader, round_num: int, day_num: int, no_names: bool) -> Optional[BacktestData]:
+    prices = []
+    with file_reader.file([f"round{round_num}", f"prices_round_{round_num}_day_{day_num}.csv"]) as file:
+        if file is None:
+            return None
+
+        for line in file.read_text(encoding="utf-8").splitlines()[1:]:
+            columns = line.split(";")
+
+            prices.append(
+                PriceRow(
+                    day=int(columns[0]),
+                    timestamp=int(columns[1]),
+                    product=columns[2],
+                    bid_prices=get_column_values(columns, [3, 5, 7]),
+                    bid_volumes=get_column_values(columns, [4, 6, 8]),
+                    ask_prices=get_column_values(columns, [9, 11, 13]),
+                    ask_volumes=get_column_values(columns, [10, 12, 14]),
+                    mid_price=float(columns[15]),
+                    profit_loss=float(columns[16]),
+                )
+            )
+
+    trades = []
+    trades_suffixes = ["nn"] if no_names else ["wn", "nn"]
+
+    for suffix in trades_suffixes:
+        with file_reader.file([f"round{round_num}", f"trades_round_{round_num}_day_{day_num}_{suffix}.csv"]) as file:
+            if file is None:
+                continue
+
+            for line in file.read_text(encoding="utf-8").splitlines()[1:]:
+                columns = line.split(";")
+
+                trades.append(
+                    Trade(
+                        symbol=columns[3],
+                        price=int(float(columns[5])),
+                        quantity=int(columns[6]),
+                        buyer=columns[1],
+                        seller=columns[2],
+                        timestamp=int(columns[0]),
+                    )
+                )
+
+            break
+
+    return create_backtest_data(round_num, day_num, prices, trades)