47 lines
1.6 KiB
Python
47 lines
1.6 KiB
Python
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) |