prosperity3bt 0.2.0__tar.gz → 0.3.0__tar.gz

{prosperity3bt-0.2.0 → prosperity3bt-0.3.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: prosperity3bt
-Version: 0.2.0
+Version: 0.3.0
 Summary: Backtester for IMC Prosperity 3 algorithms
 Author-email: Jasper van Merle <jaspervmerle@gmail.com>
 License: MIT License
@@ -37,10 +37,11 @@ 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
+Requires-Dist: ipython>=8.18.1
+Requires-Dist: jsonpickle>=4.0.2
+Requires-Dist: orjson>=3.10.15
+Requires-Dist: tqdm>=4.67.1
+Requires-Dist: typer>=0.15.2
 
 # IMC Prosperity 3 Backtester
 
@@ -98,16 +99,16 @@ $ 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, unless the `--no-trades-matching` flag is used.
+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).
 
-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).
+Matching orders against market trades can be configured through the `--match-trades` option:
+- `--match-trades all` (default): match market trades with prices equal to or worse than your quotes.
+- `--match-trades worse`: match market trades with prices worse than your quotes, inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2).
+- `--match-trades none`: do not match market trades against orders.
 
 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-0.2.0 → prosperity3bt-0.3.0}/README.md

@@ -54,16 +54,16 @@ $ 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, unless the `--no-trades-matching` flag is used.
+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).
 
-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).
+Matching orders against market trades can be configured through the `--match-trades` option:
+- `--match-trades all` (default): match market trades with prices equal to or worse than your quotes.
+- `--match-trades worse`: match market trades with prices worse than your quotes, inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2).
+- `--match-trades none`: do not match market trades against orders.
 
 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-0.2.0 → prosperity3bt-0.3.0}/prosperity3bt/__main__.py

@@ -1,31 +1,28 @@
 import sys
-from argparse import ArgumentParser
 from collections import defaultdict
 from datetime import datetime
 from functools import reduce
 from importlib import import_module, metadata, reload
 from pathlib import Path
-from typing import Any, Optional
+from typing import Annotated, Any, Optional
+
+from typer import Argument, Exit, Option, Typer
 
 from prosperity3bt.data import has_day_data
 from prosperity3bt.file_reader import FileReader, FileSystemReader, PackageResourcesReader
-from prosperity3bt.models import BacktestResult
+from prosperity3bt.models import BacktestResult, TradeMatchingMode
 from prosperity3bt.open import open_visualizer
 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_algorithm(algorithm: Path) -> Any:
+    sys.path.append(str(algorithm.parent))
+    return import_module(algorithm.stem)
 
 
-def parse_data(data_root: Optional[str]) -> FileReader:
+def parse_data(data_root: Optional[Path]) -> FileReader:
     if data_root is not None:
-        return FileSystemReader(Path(data_root).expanduser().resolve())
+        return FileSystemReader(data_root)
     else:
         return PackageResourcesReader()
 
@@ -63,9 +60,9 @@ def parse_days(file_reader: FileReader, days: list[str]) -> list[tuple[int, int]
     return parsed_days
 
 
-def parse_out(out: Optional[str], no_out: bool) -> Optional[Path]:
+def parse_out(out: Optional[Path], no_out: bool) -> Optional[Path]:
     if out is not None:
-        return Path(out).expanduser().resolve()
+        return out
 
     if no_out:
         return None
@@ -174,68 +171,53 @@ def format_path(path: Path) -> str:
         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 algorithm 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(
-        "--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)
+def version_callback(value: bool) -> None:
+    if value:
+        print(f"prosperity3bt {metadata.version(__package__)}")
+        raise Exit()
+
 
-    if args.out is not None and args.no_out:
+app = Typer(context_settings={"help_option_names": ["--help", "-h"]})
+
+
+@app.command()
+def cli(
+    algorithm: Annotated[Path, Argument(help="Path to the Python file containing the algorithm to backtest.", show_default=False, exists=True, file_okay=True, dir_okay=False, resolve_path=True)],
+    days: Annotated[list[str], Argument(help="The days to backtest on. <round>-<day> for a single day, <round> for all days in a round.", show_default=False)],
+    merge_pnl: Annotated[bool, Option("--merge-pnl", help="Merge profit and loss across days.")] = False,
+    vis: Annotated[bool, Option("--vis", help="Open backtest results in https://jmerle.github.io/imc-prosperity-3-visualizer/ when done.")] = False,
+    out: Annotated[Optional[Path], Option(help="Path to save output log to (defaults to backtests/<timestamp>.log).", show_default=False, dir_okay=False, resolve_path=True)] = None,
+    data: Annotated[Optional[Path], Option(help="Path to data directory. Must look similar in structure to https://github.com/jmerle/imc-prosperity-3-backtester/tree/master/prosperity3bt/resources.", show_default=False, exists=True, file_okay=False, dir_okay=True, resolve_path=True)] = None,
+    print_output: Annotated[bool, Option("--print", help="Print the trader's output to stdout while it's running.")] = False,
+    match_trades: Annotated[TradeMatchingMode, Option(help="How to match orders against market trades. 'all' matches trades with prices equal to or worse than your quotes, 'worse' matches trades with prices worse than your quotes, 'none' does not match trades against orders at all.")] = TradeMatchingMode.all,
+    no_out: Annotated[bool, Option("--no-out", help="Skip saving the output log to a file.")] = False,
+    no_progress: Annotated[bool, Option("--no-progress", help="Don't show progress bars.")] = False,
+    original_timestamps: Annotated[bool, Option("--original-timestamps", help="Preserve original timestamps in output log rather than making them increase across days.")] = False,
+    version: Annotated[bool, Option("--version", "-v", help="Show the program's version number and exit.", is_eager=True, callback=version_callback)] = False,
+) -> None:  # fmt: skip
+    if out is not None and no_out:
         print("Error: --out and --no-out are mutually exclusive")
         sys.exit(1)
 
     try:
-        trader_module = parse_algorithm(args.algorithm)
+        trader_module = parse_algorithm(algorithm)
     except ModuleNotFoundError as e:
-        print(f"{args.algorithm} is not a valid algorithm file: {e}")
+        print(f"{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")
+        print(f"{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)
+    file_reader = parse_data(data)
+    parsed_days = parse_days(file_reader, days)
+    output_file = parse_out(out, no_out)
 
-    show_progress_bars = not args.no_progress and not args.print
+    show_progress_bars = not no_progress and not print_output
 
     results = []
-    for round_num, day_num in days:
-        print(f"Backtesting {args.algorithm} on round {round_num} day {day_num}")
+    for round_num, day_num in parsed_days:
+        print(f"Backtesting {algorithm} on round {round_num} day {day_num}")
 
         reload(trader_module)
 
@@ -244,29 +226,33 @@ def main() -> None:
             file_reader,
             round_num,
             day_num,
-            args.print,
-            args.no_trades_matching,
-            True,  # args.no_names,
+            print_output,
+            match_trades,
+            True,
             show_progress_bars,
         )
 
         print_day_summary(result)
-        if len(days) > 1:
+        if len(parsed_days) > 1:
             print()
 
         results.append(result)
 
-    if len(days) > 1:
+    if len(parsed_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)
+        merged_results = reduce(lambda a, b: merge_results(a, b, merge_pnl, not original_timestamps), results)
         write_output(output_file, merged_results)
         print(f"\nSuccessfully saved backtest results to {format_path(output_file)}")
 
-    if args.vis and output_file is not None:
+    if vis and output_file is not None:
         open_visualizer(output_file)
 
 
+def main() -> None:
+    app()
+
+
 if __name__ == "__main__":
     main()

{prosperity3bt-0.2.0 → prosperity3bt-0.3.0}/prosperity3bt/models.py

@@ -1,4 +1,5 @@
 from dataclasses import dataclass
+from enum import Enum
 from typing import Any
 
 import orjson
@@ -101,3 +102,9 @@ class MarketTrade:
     trade: Trade
     buy_quantity: int
     sell_quantity: int
+
+
+class TradeMatchingMode(str, Enum):
+    all = "all"
+    worse = "worse"
+    none = "none"

{prosperity3bt-0.2.0 → prosperity3bt-0.3.0}/prosperity3bt/runner.py

@@ -9,7 +9,14 @@ from tqdm import tqdm
 from prosperity3bt.data import LIMITS, BacktestData, read_day_data
 from prosperity3bt.datamodel import Observation, Order, OrderDepth, Symbol, Trade, TradingState
 from prosperity3bt.file_reader import FileReader
-from prosperity3bt.models import ActivityLogRow, BacktestResult, MarketTrade, SandboxLogRow, TradeRow
+from prosperity3bt.models import (
+    ActivityLogRow,
+    BacktestResult,
+    MarketTrade,
+    SandboxLogRow,
+    TradeMatchingMode,
+    TradeRow,
+)
 
 
 def prepare_state(state: TradingState, data: BacktestData) -> None:
@@ -97,7 +104,11 @@ def enforce_limits(
 
 
 def match_buy_order(
-    state: TradingState, data: BacktestData, order: Order, market_trades: list[MarketTrade]
+    state: TradingState,
+    data: BacktestData,
+    order: Order,
+    market_trades: list[MarketTrade],
+    trade_matching_mode: TradeMatchingMode,
 ) -> list[Trade]:
     trades = []
 
@@ -119,8 +130,15 @@ def match_buy_order(
         if order.quantity == 0:
             return trades
 
+    if trade_matching_mode == TradeMatchingMode.none:
+        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
+            or (market_trade.trade.price == order.price and trade_matching_mode == TradeMatchingMode.worse)
+        ):
             continue
 
         volume = min(order.quantity, market_trade.sell_quantity)
@@ -142,7 +160,11 @@ def match_buy_order(
 
 
 def match_sell_order(
-    state: TradingState, data: BacktestData, order: Order, market_trades: list[MarketTrade]
+    state: TradingState,
+    data: BacktestData,
+    order: Order,
+    market_trades: list[MarketTrade],
+    trade_matching_mode: TradeMatchingMode,
 ) -> list[Trade]:
     trades = []
 
@@ -164,8 +186,15 @@ def match_sell_order(
         if order.quantity == 0:
             return trades
 
+    if trade_matching_mode == TradeMatchingMode.none:
+        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
+            or (market_trade.trade.price == order.price and trade_matching_mode == TradeMatchingMode.worse)
+        ):
             continue
 
         volume = min(abs(order.quantity), market_trade.buy_quantity)
@@ -184,11 +213,17 @@ def match_sell_order(
     return trades
 
 
-def match_order(state: TradingState, data: BacktestData, order: Order, market_trades: list[MarketTrade]) -> list[Trade]:
+def match_order(
+    state: TradingState,
+    data: BacktestData,
+    order: Order,
+    market_trades: list[MarketTrade],
+    trade_matching_mode: TradeMatchingMode,
+) -> list[Trade]:
     if order.quantity > 0:
-        return match_buy_order(state, data, order, market_trades)
+        return match_buy_order(state, data, order, market_trades, trade_matching_mode)
     elif order.quantity < 0:
-        return match_sell_order(state, data, order, market_trades)
+        return match_sell_order(state, data, order, market_trades, trade_matching_mode)
     else:
         return []
 
@@ -198,7 +233,7 @@ def match_orders(
     data: BacktestData,
     orders: dict[Symbol, list[Order]],
     result: BacktestResult,
-    disable_trades_matching: bool,
+    trade_matching_mode: TradeMatchingMode,
 ) -> None:
     market_trades = {
         product: [MarketTrade(t, t.quantity, t.quantity) for t in trades]
@@ -214,7 +249,8 @@ def match_orders(
                     state,
                     data,
                     order,
-                    [] if disable_trades_matching else market_trades.get(product, []),
+                    market_trades.get(product, []),
+                    trade_matching_mode,
                 )
             )
 
@@ -238,7 +274,7 @@ def run_backtest(
     round_num: int,
     day_num: int,
     print_output: bool,
-    disable_trades_matching: bool,
+    trade_matching_mode: TradeMatchingMode,
     no_names: bool,
     show_progress_bar: bool,
 ) -> BacktestResult:
@@ -299,6 +335,6 @@ def run_backtest(
 
         create_activity_logs(state, data, result)
         enforce_limits(state, data, orders, sandbox_row)
-        match_orders(state, data, orders, result, disable_trades_matching)
+        match_orders(state, data, orders, result, trade_matching_mode)
 
     return result

{prosperity3bt-0.2.0 → prosperity3bt-0.3.0}/prosperity3bt.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.2
 Name: prosperity3bt
-Version: 0.2.0
+Version: 0.3.0
 Summary: Backtester for IMC Prosperity 3 algorithms
 Author-email: Jasper van Merle <jaspervmerle@gmail.com>
 License: MIT License
@@ -37,10 +37,11 @@ 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
+Requires-Dist: ipython>=8.18.1
+Requires-Dist: jsonpickle>=4.0.2
+Requires-Dist: orjson>=3.10.15
+Requires-Dist: tqdm>=4.67.1
+Requires-Dist: typer>=0.15.2
 
 # IMC Prosperity 3 Backtester
 
@@ -98,16 +99,16 @@ $ 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, unless the `--no-trades-matching` flag is used.
+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).
 
-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).
+Matching orders against market trades can be configured through the `--match-trades` option:
+- `--match-trades all` (default): match market trades with prices equal to or worse than your quotes.
+- `--match-trades worse`: match market trades with prices worse than your quotes, inspired by [team Linear Utility's Prosperity 2 write-up](https://github.com/ericcccsliu/imc-prosperity-2).
+- `--match-trades none`: do not match market trades against orders.
 
 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-0.3.0/prosperity3bt.egg-info/requires.txt

@@ -0,0 +1,5 @@
+ipython>=8.18.1
+jsonpickle>=4.0.2
+orjson>=3.10.15
+tqdm>=4.67.1
+typer>=0.15.2

{prosperity3bt-0.2.0 → prosperity3bt-0.3.0}/pyproject.toml

@@ -1,7 +1,7 @@
 [project]
 name = "prosperity3bt"
 description = "Backtester for IMC Prosperity 3 algorithms"
-version = "0.2.0"
+version = "0.3.0"
 readme = "README.md"
 license = {file = "LICENSE"}
 authors = [{name = "Jasper van Merle", email = "jaspervmerle@gmail.com"}]
@@ -14,7 +14,13 @@ classifiers = [
     "Programming Language :: Python :: 3",
 ]
 requires-python = ">= 3.9"
-dependencies = ["ipython", "jsonpickle", "orjson", "tqdm"]
+dependencies = [
+    "ipython>=8.18.1",
+    "jsonpickle>=4.0.2",
+    "orjson>=3.10.15",
+    "tqdm>=4.67.1",
+    "typer>=0.15.2",
+]
 
 [build-system]
 requires = ["setuptools >= 61.0"]

prosperity3bt-0.2.0/prosperity3bt.egg-info/requires.txt

@@ -1,4 +0,0 @@
-ipython
-jsonpickle
-orjson
-tqdm