orderflow_backtest/main.py

import logging
import typer
from pathlib import Path
from typing import List
from datetime import datetime, timezone
from storage import Storage
from strategies import DefaultStrategy

databases_path = Path("../data/OKX")

storage = None

def main(instrument: str = typer.Argument(..., help="Instrument to backtest, e.g. BTC-USDT"),
             start_date: str = typer.Argument(..., help="Start date, e.g. 2025-07-01"),
             end_date: str = typer.Argument(..., help="End date, e.g. 2025-08-01")):
    start_date = datetime.strptime(start_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)
    end_date = datetime.strptime(end_date, "%Y-%m-%d").replace(tzinfo=timezone.utc)

    db_paths = list(databases_path.glob(f"{instrument}*.db"))
    db_paths.sort()

    storage = Storage(instrument)
    strategy = DefaultStrategy(instrument)

    logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s")

    for db_path in db_paths:
        db_name = db_path.name.split(".")[0].split("-")[2:5]
        db_date = datetime.strptime("".join(db_name), "%y%m%d").replace(tzinfo=timezone.utc)

        if db_date < start_date or db_date >= end_date:
            continue

        logging.info(f"Processing database: {db_path.name}")
        
        strategy.set_db_path(db_path)
        
        storage.build_booktick_from_db(db_path)
        logging.info(f"Processed {len(storage.book.snapshots)} snapshots with metrics")
        
        strategy.on_booktick(storage.book)
        
    logging.info("Processing complete.")


if __name__ == "__main__":
    typer.run(main)