trade

# Trade ## Introduction trade is a JavaScript library that executes orders on data, thereby creates a backtest and returns the resulting positions. Those can be used to generate trading reports. ## Features - 💾 Use any data source you like – CSV files, a database or a web service - 🪙 Use almost any instruments you'd like to backtest – stocks, futures, crypto currencies - ⏱ Use almost any interval on data you like – weekly, daily or even second by second - 🔌 Simple to use interface – library consists of one main function - 🧪 Tested library with with high test coverage (>95%) - 📈 Returns results as a JSON structure for easy reportings and analysis ## Documentation See the [API documentation](./src/trade/trade.md). ## Install - Install through npm: `npm i -S backtest` - Requires Node 12 (for private class fields) ## Example ```javascript import { trade } from 'trade'; /** * Get your data from any source you like – a web service, a CSV file, a database. The structure * does not matter: if needed, you can transform it in the getData function. */ const data = [ [ { date: '2020-01-01', open: 20.5, close: 20.9, symbol: 'AAPL' }, { date: '2020-01-01', open: 10.2, close: 10.1, symbol: 'AMZN' }, ], [ { date: '2020-01-02', open: 20.4, close: 20.7, symbol: 'AAPL' }, { date: '2020-01-02', open: 10.3, close: 10.6, symbol: 'AMZN' }, ], [ { date: '2020-01-03', open: 20.3, close: 20.6, symbol: 'AAPL' }, { date: '2020-01-03', open: 10.4, close: 10.5, symbol: 'AMZN' }, ] ]; /** * The trade function expects an async generator as argument. Every bar (e.g. day for daily * data) should yield and contain one object per instrument. */ function* getData() { for (const barData of data) { // The trade function expects all dates to be JavaScript dates; convert strings to // dates const parsedData = barData.map(item => ({ ...item, date: new Date(item.date) })); yield parsedData; } } /** * Create orders is a callback function that will be called by the trade function. Return * your orders for the current bar. * In this case, we * - buy when open is > close, sell when close < open * - use equal position size for all instruments */ const createOrders = ({ data, positions, cash }) => { // Get newest data (index 0 is current bar's data, index 1 is previous bar's data) const [current, previous] = data; // If there is no previous data (because we're on the first data) don't trade anything: // return empty orders. if (!previous) return []; // Store the instruments that we want to have long or short positions of const expectedPositions = []; // Go through all current data and get data for the same instrument on previous bar for (const instrumentData of current) { const { symbol } = instrumentData; // Get previous bar's data for the current symbol const previousInstrumentData = previous.find(item => item.symbol === symbol); // If there is no data for the previous bar, we don't take or hold a position if (!previousInstrumentData) continue; // Direction is -1 for short and 1 for long const direction = instrumentData.close > previousInstrumentData.close ? 1 : -1; expectedPositions.push({ data: instrumentData, direction }); } // Get amount of money available (cash plus value of all all open positions) const available = cash + positions.reduce((prev, pos) => prev + pos.value, 0); // Divide money equally by all positions we are expected to hold const moneyPerPosition = available / expectedPositions.length; // Calculate position size for every symbol we hold const orders = expectedPositions.map(position => ({ symbol: position.data.symbol, size: Math.floor(moneyPerPosition / position.data.close) * position.direction, })); return orders; }; // Start with cash of 10.000 const cash = 10 ** 4; const result = await trade({ getData, createOrders, cash, }); ``` The result will be: ```javascript [ { "date": "2020-01-01T00:00:00.000Z", "orders": [], "cash": 10000, "cost": 0, "positionsOnOpen": [], "positionsAfterTrade": [], "positionsOnClose": [], "closedPositions": [] }, { "date": "2020-01-02T00:00:00.000Z", "orders": [ { "symbol": "AAPL", "size": -241 }, { "symbol": "AMZN", "size": 471 } ], "cash": 10000, "cost": 0, "positionsOnOpen": [], "positionsAfterTrade": [], "positionsOnClose": [], "closedPositions": [] }, { "date": "2020-01-03T00:00:00.000Z", "orders": [ { "symbol": "AAPL", "size": -242 }, { "symbol": "AMZN", "size": -474 } ], "cash": 209.29999999999927, "cost": 9790.7, "positionsOnOpen": [], "positionsAfterTrade": [ { "date": "2020-01-03T00:00:00.000Z", "symbol": "AAPL", "type": "open", "price": 20.3, "exchangeRate": 1, "size": -241, "barsHeld": 0, "id": 0, "value": 4892.3, "initialPosition": { "date": "2020-01-03T00:00:00.000Z", "symbol": "AAPL", "type": "open", "price": 20.3, "exchangeRate": 1, "size": -241, "barsHeld": 0, "id": 0, "margin": 20.3, "settleDifference": false, "pointValue": 1, "value": 4892.3 } }, { "date": "2020-01-03T00:00:00.000Z", "symbol": "AMZN", "type": "open", "price": 10.4, "exchangeRate": 1, "size": 471, "barsHeld": 0, "id": 1, "value": 4898.400000000001, "initialPosition": { "date": "2020-01-03T00:00:00.000Z", "symbol": "AMZN", "type": "open", "price": 10.4, "exchangeRate": 1, "size": 471, "barsHeld": 0, "id": 1, "margin": 10.4, "settleDifference": false, "pointValue": 1, "value": 4898.400000000001 } } ], "positionsOnClose": [ { "date": "2020-01-03T00:00:00.000Z", "symbol": "AAPL", "type": "close", "price": 20.6, "exchangeRate": 1, "size": -241, "barsHeld": 0, "id": 0, "value": 4820, "initialPosition": { "date": "2020-01-03T00:00:00.000Z", "symbol": "AAPL", "type": "open", "price": 20.3, "exchangeRate": 1, "size": -241, "barsHeld": 0, "id": 0, "margin": 20.3, "settleDifference": false, "pointValue": 1, "value": 4892.3 } }, { "date": "2020-01-03T00:00:00.000Z", "symbol": "AMZN", "type": "close", "price": 10.5, "exchangeRate": 1, "size": 471, "barsHeld": 0, "id": 1, "value": 4945.5, "initialPosition": { "date": "2020-01-03T00:00:00.000Z", "symbol": "AMZN", "type": "open", "price": 10.4, "exchangeRate": 1, "size": 471, "barsHeld": 0, "id": 1, "margin": 10.4, "settleDifference": false, "pointValue": 1, "value": 4898.400000000001 } } ], "closedPositions": [] } ] ``` ## Contribute 1. Run tests: `npm test` 1. Get test coverage: `npm run coverage` 2. Update docs before publishing: `npm run docs`