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Jerry's tests/CSV_Reader_test.py

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+import pandas as pd
+from nautilus_trader.core.datetime import dt_to_unix_nanos
+
+# timestamp_ns = pd.Timestamp("2022-01-01").value
+# print(timestamp_ns)
+# start = dt_to_unix_nanos(pd.Timestamp('2022-01-01', tz='UTC'))
+# print(start)
+# end_time=pd.Timestamp("2022-01-01 23:00:00").value
+# print(end_time)
+# 设置显示选项
+pd.set_option('display.max_columns', None)  # 显示所有列
+pd.set_option('display.width', None)        # 确保每一列都能完全显示
+pd.set_option('display.max_rows', None)     # 显示所有行
+pd.set_option('display.max_colwidth', None) # 显示每一列的完整内容
+
+# filename = r"D:\下载\DAT_ASCII_EURUSD_T_202308.csv"
+# filename = r"D:\下载\BTC-USDT-220107.OK.csv"
+# filename = r"D:\下载\LDOBUSD-bookTicker-2023-06\LDOBUSD-bookTicker-2023-06.csv"
+filename = r"D:\下载\BTCUSDT-bookTicker-2023-09-17\BTCUSDT-bookTicker-2023-09-17.csv"
+data = pd.read_csv(filename, nrows=10000)
+data['spread'] = data['best_ask_price'] - data['best_bid_price']
+data['midprice'] = (data['best_ask_price'] + data['best_bid_price']) / 2
+data['midprice_change'] = data['midprice'].diff()
+data['imbalance_-1to1'] = -data['best_ask_qty'] + data['best_bid_qty'] / data['best_ask_qty'] + data['best_bid_qty']  # 取值是-1到1之间，-1表示完全由卖单构成，1表示完全由买单构成
+data['imbalance_0to1'] = data['best_ask_qty'] / data['best_ask_qty'] + data['best_bid_qty']  # 取值是0到1之间，0表示完全由卖单构成，1表示完全由买单构成
+data['wmp'] = data['midprice'] + data['spread'] * data['imbalance_-1to1']/2
+data['wmp_change'] = data['wmp'].diff()
+data['dmp'] = data['midprice'] + data['spread'] * data['imbalance_-1to1'] * (data['imbalance_-1to1'] * data['imbalance_-1to1'] + 1) / 2  # 尚未完成，需要结合DMP公式考虑fee
+
+print(data)
+print(data.dtypes)  # 查看每一列的数据类型
+print(data.head())  # 查看head
+print(data.columns)  # 查看列名
+#
+# # pd.reset_option('display.max_columns')
+

Jerry's tests/External_Data_Loader.py

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+import os, shutil
+from datetime import date
+import pandas as pd
+from decimal import Decimal
+from nautilus_trader.model.data.tick import QuoteTick
+from nautilus_trader.model.objects import Price, Quantity
+from nautilus_trader.core.datetime import dt_to_unix_nanos
+from nautilus_trader.persistence.catalog import ParquetDataCatalog
+from nautilus_trader.persistence.external.core import process_files, write_objects
+from nautilus_trader.persistence.external.readers import CSVReader
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
+from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig
+from nautilus_trader.config import ImportableStrategyConfig
+
+
+def parser(data, instrument_id):
+    """
+    Parser function for OKX Tick data, for use with CSV Reader
+    Should check
+    1) the data structure of the file
+    2) “as_dataframe” true or false and
+    use from_str for string data and from_int for int data and return a QuoteTick object
+
+    """
+    dt = pd.Timestamp(data['exchTimeMs'], unit='ms', tz='UTC')
+    yield QuoteTick(
+        instrument_id=instrument_id,
+        bid=Price.from_str(str(data['bidPx1'])),
+        ask=Price.from_str(str(data['askPx1'])),
+        bid_size=Quantity.from_int(data['bidCnt1']),
+        ask_size=Quantity.from_int(data['askCnt1']),
+        ts_event=dt_to_unix_nanos(dt),
+        ts_init=dt_to_unix_nanos(dt),
+    )
+
+input_files = "D:\下载\BTC-USDT-220107.OK.csv"  # "your_path_to_file"
+CATALOG_PATH = "D:/backtest/backtest1/catalog02"  # "your_path_to_catalog"
+# Clear if it already exists, then create fresh
+if os.path.exists(CATALOG_PATH):
+    shutil.rmtree(CATALOG_PATH)
+os.mkdir(CATALOG_PATH)
+catalog = ParquetDataCatalog(CATALOG_PATH)  # Create a new ParquetDataCatalog instance
+
+# Use nautilus test helpers to create a BTC/USDT Crypto instrument for our purposes
+maker1 = Decimal(-0.000001)
+taker1 = Decimal(0.0000143)
+instrument = TestInstrumentProvider.btcusdt_future_OKX(expiry=date(2022, 1, 7), maker=maker1, taker=taker1)
+
+# Add our new instrument to the ParquetDataCatalog and check its existence
+write_objects(catalog, [instrument])
+catalog.instruments()
+
+# Loading the files (the header can be customized)
+process_files(
+    glob_path=input_files,
+    reader=CSVReader(
+        block_parser=lambda x: parser(x, instrument_id=instrument.id),
+        header=None,
+        chunked=False,
+        as_dataframe=True,
+    ),
+    catalog=catalog,
+)
+
+# Also manually write the instrument to the catalog
+write_objects(catalog, [instrument])
+
+# Using the data Catalog
+start = dt_to_unix_nanos(pd.Timestamp('2022-01-01', tz='UTC'))
+end = dt_to_unix_nanos(pd.Timestamp('2022-01-01 23:00:00', tz='UTC'))
+
+catalog.quote_ticks(start=start, end=end)

Jerry's tests/External_Data_Loader_OKX.py

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+import os, shutil
+import pandas as pd
+from decimal import Decimal
+from nautilus_trader.model.data.tick import QuoteTick
+from nautilus_trader.model.objects import Price, Quantity
+from nautilus_trader.core.datetime import dt_to_unix_nanos
+from nautilus_trader.persistence.catalog import ParquetDataCatalog
+from nautilus_trader.persistence.external.core import process_files, write_objects
+from nautilus_trader.persistence.external.readers import CSVReader
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
+
+
+
+def parser(data, instrument_id):
+    """
+    Parser function for OKX Tick data, for use with CSV Reader
+    Should check
+    1) the data structure of the file
+    2) “as_dataframe” true or false and
+    use from_str for string data and from_int for int data and return a QuoteTick object
+
+    """
+    dt = pd.Timestamp(data['exchTimeMs'], unit='ms', tz='UTC')
+    yield QuoteTick(
+        instrument_id=instrument_id,
+        bid=Price.from_str(str(data['bidPx1'])),
+        ask=Price.from_str(str(data['askPx1'])),
+        bid_size=Quantity.from_str(str(data['bidSz1'])),
+        ask_size=Quantity.from_str(str(data['askSz1'])),
+        ts_event=dt_to_unix_nanos(dt),
+        ts_init=dt_to_unix_nanos(dt),
+    )
+
+input_files = r"D:\下载\BTC-USDT-220107.OK.csv"  # "your_path_to_file"
+CATALOG_PATH = r"D:/backtest/backtest1/catalog_Sz_01"  # "your_path_to_catalog"
+# Clear if it already exists, then create fresh
+if os.path.exists(CATALOG_PATH):
+    shutil.rmtree(CATALOG_PATH)
+os.mkdir(CATALOG_PATH)
+catalog = ParquetDataCatalog(CATALOG_PATH)  # Create a new ParquetDataCatalog instance
+
+# # For DEFAULT nautilus-trader with default function btcusdt_future_binance in TestInstrumentProvider
+# instrument = TestInstrumentProvider.btcusdt_future_binance()
+
+# For EDITABLE nautilus-trader with customized function btcusdt_future_OKX in TestInstrumentProvider
+# Use nautilus test helpers to create a BTC/USDT Crypto instrument for our purposes
+maker1 = Decimal(-0.000001)
+taker1 = Decimal(0.0000143)
+instrument = TestInstrumentProvider.btcusdt_future_OKX(maker=maker1, taker=taker1)
+
+# Add our new instrument to the ParquetDataCatalog and check its existence
+write_objects(catalog, [instrument])
+catalog.instruments()
+
+# Loading the files (the header can be customized)
+process_files(
+    glob_path=input_files,
+    reader=CSVReader(
+        block_parser=lambda x: parser(x, instrument_id=instrument.id),
+        header=None,
+        chunked=False,
+        as_dataframe=True,
+    ),
+    catalog=catalog,
+)
+
+# Also manually write the instrument to the catalog
+write_objects(catalog, [instrument])
+
+# Using the data Catalog
+start = dt_to_unix_nanos(pd.Timestamp('2022-01-01', tz='UTC'))
+end = dt_to_unix_nanos(pd.Timestamp('2022-01-01 23:00:00', tz='UTC'))
+
+catalog.quote_ticks(start=start, end=end)

Jerry's tests/OKX_BTCUSDT_Level2_Test.py

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+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+# This file is a backtest file with imported catalog quote tick data of OKX
+# This file is using BacktestNode to run the backtest
+# Customized by Jerry based on exmaples\notebooks\external_data_backtest.ipynb
+# -------------------------------------------------------------------------------------------------
+
+import time
+from decimal import Decimal
+
+import pandas as pd
+
+from nautilus_trader.backtest.node import BacktestNode
+from nautilus_trader.core.datetime import dt_to_unix_nanos
+from nautilus_trader.config import BacktestRunConfig, BacktestVenueConfig, BacktestDataConfig, BacktestEngineConfig
+from nautilus_trader.config import ImportableStrategyConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.config.common import ImportableStrategyConfig
+from nautilus_trader.model.data.tick import QuoteTick
+from nautilus_trader.persistence.catalog import ParquetDataCatalog
+
+
+if __name__ == "__main__":
+
+    # Using the data Catalog
+    # catalog = ParquetDataCatalog.from_env()  # Create a new ParquetDataCatalog instance from the environment
+    # ran on 08/28/23 Mon 14:50:00 but failed with no [Nautilus_Path]
+    CATALOG_PATH = "D:/backtest/backtest1/catalog_Sz_01"  # "your_path_to_catalog"
+    catalog = ParquetDataCatalog(CATALOG_PATH)  # Create a new ParquetDataCatalog instance
+    catalog.instruments()  # List all instruments in the catalog
+
+    start = dt_to_unix_nanos(pd.Timestamp('2022-01-01', tz='UTC'))
+    end = dt_to_unix_nanos(pd.Timestamp('2022-01-01 23:00:00', tz='UTC'))
+
+    catalog.quote_ticks(start=start, end=end)
+
+    # Add instruments
+    instrument = catalog.instruments(as_nautilus=True)[0]
+
+    # Add a trading venue (multiple venues possible)
+    venues_config = [
+        BacktestVenueConfig(
+            name="OKX",
+            oms_type="HEDGING",
+            account_type="MARGIN",
+            base_currency="USDT",
+            starting_balances=["1000000 USDT"],
+        )
+    ]
+
+    # Add data
+    data_config = [
+        BacktestDataConfig(
+            catalog_path=str(catalog.path),
+            data_cls=QuoteTick,
+            instrument_id=instrument.id.value,
+            start_time=pd.Timestamp("2022-01-01").value,
+            end_time=pd.Timestamp("2022-01-01 00:00:30").value,
+        )
+    ]
+
+    # Configure your strategy
+    strategies = [
+        ImportableStrategyConfig(
+            strategy_path="nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalance",
+            config_path="nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalanceConfig",
+            config=dict(
+                instrument_id=instrument.id.value,
+                max_trade_size=Decimal(1000),
+                use_quote_ticks=True,
+                trigger_min_size=0.5,
+                trigger_imbalance_ratio=0.4,
+                book_type="L1_TBBO",
+                # order_id_tag=instrument.selection_id,
+                # AttributeError: 'nautilus_trader.model.instruments.crypto_future.Cr' object has no attribute 'selection_id'
+            ),
+        ),
+    ]
+
+    config = BacktestRunConfig(
+        engine=BacktestEngineConfig(
+            strategies=strategies,
+            logging=LoggingConfig(log_level="ERROR"),
+        ),
+        data=data_config,
+        venues=venues_config,
+    )
+
+    node = BacktestNode(configs=[config])  # successfully ran but no reports
+
+    results = node.run()
+    print(results)