prosperity3bt 0.1.0__tar.gz → 0.2.0__tar.gz

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: prosperity3bt
-Version: 0.1.0
+Version: 0.2.0
 Summary: Backtester for IMC Prosperity 3 algorithms
 Author-email: Jasper van Merle <jaspervmerle@gmail.com>
 License: MIT License
@@ -105,7 +105,9 @@ $ 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).
+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, unless the `--no-trades-matching` flag is used.
+
+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. Inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2), a market trade is only matched if the trade's price is worse than your quotes. 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.
 

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/README.md

@@ -61,7 +61,9 @@ $ 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).
+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, unless the `--no-trades-matching` flag is used.
+
+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. Inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2), a market trade is only matched if the trade's price is worse than your quotes. 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.
 

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt/__main__.py

@@ -1,10 +1,8 @@
 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 functools import reduce
 from importlib import import_module, metadata, reload
 from pathlib import Path
 from typing import Any, Optional
@@ -12,6 +10,7 @@ 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.open import open_visualizer
 from prosperity3bt.runner import run_backtest
 
 
@@ -167,29 +166,6 @@ def print_overall_summary(results: list[BacktestResult]) -> None:
     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):
@@ -200,7 +176,7 @@ def format_path(path: Path) -> str:
 
 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("algorithm", type=str, help="path to the Python file containing the algorithm to backtest")
     parser.add_argument(
         "days",
         type=str,
@@ -221,12 +197,6 @@ def main() -> None:
     )
     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",
@@ -294,8 +264,8 @@ def main() -> None:
         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 args.vis and output_file is not None:
+        open_visualizer(output_file)
 
 
 if __name__ == "__main__":

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt/data.py

@@ -1,6 +1,5 @@
 from collections import defaultdict
 from dataclasses import dataclass
-from typing import Optional
 
 from prosperity3bt.datamodel import Symbol, Trade
 from prosperity3bt.file_reader import FileReader
@@ -45,7 +44,7 @@ class BacktestData:
     prices: dict[int, dict[Symbol, PriceRow]]
     trades: dict[int, dict[Symbol, list[Trade]]]
     products: list[Symbol]
-    profit_loss: dict[Symbol, int]
+    profit_loss: dict[Symbol, float]
 
 
 def create_backtest_data(round_num: int, day_num: int, prices: list[PriceRow], trades: list[Trade]) -> BacktestData:
@@ -58,7 +57,7 @@ def create_backtest_data(round_num: int, day_num: int, prices: list[PriceRow], t
         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}
+    profit_loss = {product: 0.0 for product in products}
 
     return BacktestData(
         round_num=round_num,
@@ -75,11 +74,11 @@ def has_day_data(file_reader: FileReader, round_num: int, day_num: int) -> bool:
         return file is not None
 
 
-def read_day_data(file_reader: FileReader, round_num: int, day_num: int, no_names: bool) -> Optional[BacktestData]:
+def read_day_data(file_reader: FileReader, round_num: int, day_num: int, no_names: bool) -> 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
+            raise ValueError(f"Prices data is not available for round {round_num} day {day_num}")
 
         for line in file.read_text(encoding="utf-8").splitlines()[1:]:
             columns = line.split(";")
@@ -104,7 +103,8 @@ def read_day_data(file_reader: FileReader, round_num: int, day_num: int, no_name
     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
+                trades_data_type = "Anonymized" if suffix == "nn" else "De-anonymized"
+                raise ValueError(f"{trades_data_type} trades data is not available for round {round_num} day {day_num}")
 
             for line in file.read_text(encoding="utf-8").splitlines()[1:]:
                 columns = line.split(";")

prosperity3bt-0.2.0/prosperity3bt/open.py

@@ -0,0 +1,36 @@
+import webbrowser
+from functools import partial
+from http.server import HTTPServer, SimpleHTTPRequestHandler
+from pathlib import Path
+from typing import Any
+
+
+class HTTPRequestHandler(SimpleHTTPRequestHandler):
+    def do_GET(self):
+        self.server.shutdown_flag = True
+        return super().do_GET()
+
+    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
+
+
+class CustomHTTPServer(HTTPServer):
+    def __init__(self, *args, **kwargs) -> None:
+        super().__init__(*args, **kwargs)
+        self.shutdown_flag = False
+
+
+def open_visualizer(output_file: Path) -> None:
+    http_handler = partial(HTTPRequestHandler, directory=str(output_file.parent))
+    http_server = CustomHTTPServer(("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}"
+    )
+
+    while not http_server.shutdown_flag:
+        http_server.handle_request()

prosperity3bt-0.2.0/prosperity3bt/parse_submission_logs.py

@@ -0,0 +1,87 @@
+import sys
+from argparse import ArgumentParser
+from pathlib import Path
+
+import orjson
+
+
+def parse_prices(activities_log: str, output_dir: Path, round_day: str) -> None:
+    output_file = output_dir / f"prices_{round_day}.csv"
+
+    print(f"Writing prices data to {output_file}")
+    with output_file.open("w+", encoding="utf-8") as f:
+        f.write(activities_log + "\n")
+
+
+def parse_trades(trade_history: str, output_dir: Path, round_day: str) -> None:
+    trades = orjson.loads(trade_history)
+
+    with_names_options = [False]
+    if len(trades) > 0 and len(trades[0]["buyer"]) > 0 and len(trades[0]["seller"]) > 0:
+        with_names_options.append(True)
+
+    for with_names in with_names_options:
+        suffix = "wn" if with_names else "nn"
+        output_file = output_dir / f"trades_{round_day}_{suffix}.csv"
+
+        print(f"Writing trades data to {output_file}")
+        with output_file.open("w+", encoding="utf-8") as f:
+            f.write("timestamp;buyer;seller;symbol;currency;price;quantity\n")
+
+            for t in trades:
+                row = ";".join(
+                    [
+                        str(t["timestamp"]),
+                        t["buyer"] if with_names else "",
+                        t["seller"] if with_names else "",
+                        t["symbol"],
+                        t["currency"],
+                        str(t["price"]),
+                        str(t["quantity"]),
+                    ]
+                )
+
+                f.write(row + "\n")
+
+
+def main() -> None:
+    parser = ArgumentParser(
+        description="Save prices and trades data in submission logs to prosperity3bt's resources module.",
+    )
+    parser.add_argument("file", type=str, help="path to the log file")
+    parser.add_argument("round", type=int, help="round the logs belong to")
+    parser.add_argument("day", type=int, help="day the logs belong to")
+
+    args = parser.parse_args()
+
+    file = Path(args.file).expanduser().resolve()
+    if not file.is_file():
+        print(f"Error: {file} is not a file")
+        sys.exit(1)
+
+    logs = file.read_text()
+
+    sections = {}
+    for block in logs.split("\n\n"):
+        block = block.strip()
+        if len(block) == 0:
+            continue
+
+        newline_idx = block.index("\n")
+        category = block[: newline_idx - 1]
+        content = block[newline_idx + 1 :]
+
+        sections[category] = content
+
+    output_dir = Path(__file__).parent / "resources" / f"round{args.round}"
+    if not output_dir.is_dir():
+        output_dir.mkdir(parents=True)
+
+    round_day = f"round_{args.round}_day_{args.day}"
+
+    parse_prices(sections["Activities log"], output_dir, round_day)
+    parse_trades(sections["Trade History"], output_dir, round_day)
+
+
+if __name__ == "__main__":
+    main()

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt/resources/round0/prices_round_0_day_-2.csv

@@ -2070,7 +2070,7 @@ day;timestamp;product;bid_price_1;bid_volume_1;bid_price_2;bid_volume_2;bid_pric
 -1;103400;KELP;2018;32;;;;;2019;1;2020;5;2022;32;2018.5;0.0
 -1;103400;RAINFOREST_RESIN;9998;9;9996;2;9995;30;10000;4;10004;2;10005;30;9999.0;0.0
 -1;103500;RAINFOREST_RESIN;9996;1;9995;27;;;10004;1;10005;27;;;10000.0;0.0
--1;103500;KELP;2019;8;2018;28;;;2020;18;2022;28;;;2019.5;0.0
+-1;103500;KELP;2019;8;2018;28;;;2020;9;2022;28;;;2019.5;0.0
 -1;103600;RAINFOREST_RESIN;9996;2;9995;25;;;10004;2;10005;25;;;10000.0;0.0
 -1;103600;KELP;2018;27;;;;;2022;27;;;;;2020.0;0.0
 -1;103700;KELP;2019;1;2018;24;;;2022;25;;;;;2020.5;0.0

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt/runner.py

@@ -25,7 +25,7 @@ def prepare_state(state: TradingState, data: BacktestData) -> None:
 
         state.order_depths[product] = order_depth
 
-        state.listings[product] = {
+        state.listings[product] = {  # type: ignore[assignment]
             "symbol": product,
             "product": product,
             "denomination": 1,
@@ -120,7 +120,7 @@ def match_buy_order(
             return trades
 
     for market_trade in market_trades:
-        if market_trade.sell_quantity == 0 or market_trade.trade.price > order.price:
+        if market_trade.sell_quantity == 0 or market_trade.trade.price >= order.price:
             continue
 
         volume = min(order.quantity, market_trade.sell_quantity)
@@ -165,7 +165,7 @@ def match_sell_order(
             return trades
 
     for market_trade in market_trades:
-        if market_trade.buy_quantity == 0 or market_trade.trade.price < order.price:
+        if market_trade.buy_quantity == 0 or market_trade.trade.price <= order.price:
             continue
 
         volume = min(abs(order.quantity), market_trade.buy_quantity)
@@ -200,9 +200,10 @@ def match_orders(
     result: BacktestResult,
     disable_trades_matching: bool,
 ) -> None:
-    market_trades: dict[Symbol, list[MarketTrade]] = {}
-    for product, trades in data.trades[state.timestamp].items():
-        market_trades[product] = [MarketTrade(t, t.quantity, t.quantity) for t in trades]
+    market_trades = {
+        product: [MarketTrade(t, t.quantity, t.quantity) for t in trades]
+        for product, trades in data.trades[state.timestamp].items()
+    }
 
     for product in data.products:
         new_trades = []
@@ -279,7 +280,7 @@ def run_backtest(
 
         # Tee calls stdout.close(), making stdout.getvalue() impossible
         # This override makes getvalue() possible after close()
-        stdout.close = lambda: None
+        stdout.close = lambda: None  # type: ignore[method-assign]
 
         if print_output:
             with closing(Tee(stdout)):

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: prosperity3bt
-Version: 0.1.0
+Version: 0.2.0
 Summary: Backtester for IMC Prosperity 3 algorithms
 Author-email: Jasper van Merle <jaspervmerle@gmail.com>
 License: MIT License
@@ -105,7 +105,9 @@ $ 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).
+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, unless the `--no-trades-matching` flag is used.
+
+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. Inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2), a market trade is only matched if the trade's price is worse than your quotes. 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.
 

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/prosperity3bt.egg-info/SOURCES.txt

@@ -7,6 +7,8 @@ prosperity3bt/data.py
 prosperity3bt/datamodel.py
 prosperity3bt/file_reader.py
 prosperity3bt/models.py
+prosperity3bt/open.py
+prosperity3bt/parse_submission_logs.py
 prosperity3bt/runner.py
 prosperity3bt.egg-info/PKG-INFO
 prosperity3bt.egg-info/SOURCES.txt

{prosperity3bt-0.1.0 → prosperity3bt-0.2.0}/pyproject.toml

@@ -1,7 +1,7 @@
 [project]
 name = "prosperity3bt"
 description = "Backtester for IMC Prosperity 3 algorithms"
-version = "0.1.0"
+version = "0.2.0"
 readme = "README.md"
 license = {file = "LICENSE"}
 authors = [{name = "Jasper van Merle", email = "jaspervmerle@gmail.com"}]
@@ -36,6 +36,7 @@ prosperity3bt = ["resources/*/*.csv"]
 
 [tool.uv]
 dev-dependencies = [
+    "mypy>=1.15.0",
     "ruff>=0.9.7",
 ]
 
@@ -44,3 +45,10 @@ line-length = 120
 
 [tool.ruff.lint]
 extend-select = ["I"]
+
+[tool.mypy]
+ignore_missing_imports = true
+
+[[tool.mypy.overrides]]
+module = "prosperity3bt.datamodel"
+ignore_errors = true