Merge branch 'hotfix/1.6.2'

CHANGELOG.md

@@ -1,5 +1,11 @@
 # Changelog
 
+## 1.6.2
+
+### Bug fixes
+
+* VolumeShareImpact.calculate_price and VolumeShareImpact.calculate_amount were failing when there was no available liquidity.
+
 ## 1.6.1
 
 ### Bug fixes

basana/backtesting/liquidity.py

@@ -17,6 +17,7 @@
 from decimal import Decimal
 import abc
 
+from basana.backtesting import errors
 from basana.core import bar
 
 
@@ -93,7 +94,8 @@ def calculate_amount(self, price_impact: Decimal) -> Decimal:
 
 
 class VolumeShareImpact(LiquidityStrategy):
-    """The price impact is calculated by multiplying the price impact constant by the square of the ratio of the used
+    """
+    The price impact is calculated by multiplying the price impact constant by the square of the ratio of the used
     volume to the total volume.
 
     :param volume_limit_pct: Maximum percentage of volume that can be used from each bar.
@@ -116,18 +118,23 @@ def on_bar(self, bar: bar.Bar):
     def _volume_share_impact(self, used_liquidity: Decimal) -> Decimal:
         # impact = (used_liquidity / (used_liquidity + available_liquidity)) ** 2 * price_impact
         assert used_liquidity >= Decimal(0), f"Invalid used_liquidity {used_liquidity}"
-        assert used_liquidity <= self._total_liquidity, f"Invalid used_liquidity {used_liquidity}"
+        assert used_liquidity <= self._total_liquidity, f"used_liquidity {used_liquidity} too high"
 
-        used_pct = used_liquidity / self._total_liquidity
-        return used_pct ** Decimal(2) * self._price_impact_pct
+        if used_liquidity == Decimal(0):
+            ret = Decimal(0)
+        else:
+            used_pct = used_liquidity / self._total_liquidity
+            ret = used_pct ** Decimal(2) * self._price_impact_pct
+        return ret
 
     @property
     def available_liquidity(self) -> Decimal:
         return self._total_liquidity - self._used_liquidity
 
     def take_liquidity(self, amount: Decimal) -> Decimal:
-        assert amount > 0, f"Invalid amount {amount}"
-        assert amount <= self.available_liquidity, f"amount {amount} too high"
+        assert amount >= Decimal(0), f"Invalid amount {amount}"
+        if amount > self.available_liquidity:
+            raise errors.Error("Not enough liquidity")
 
         impact_pre = self._volume_share_impact(self._used_liquidity)
         self._used_liquidity += amount
@@ -138,7 +145,8 @@ def take_liquidity(self, amount: Decimal) -> Decimal:
 
     def calculate_price_impact(self, amount: Decimal) -> Decimal:
         assert amount >= Decimal(0), f"Invalid amount {amount}"
-        assert amount <= self.available_liquidity, f"amount {amount} too high"
+        if amount > self.available_liquidity:
+            raise errors.Error("Not enough liquidity")
 
         return self._volume_share_impact(self._used_liquidity + amount)
 
@@ -150,8 +158,14 @@ def calculate_amount(self, price_impact: Decimal) -> Decimal:
         # sqrt(price_impact / self._price_impact_pct) = used_liquidity / self._total_liquidity
         # used_liquidity = self._total_liquidity * sqrt(price_impact / self._price_impact_pct)
 
-        price_impact = min(price_impact, self._price_impact_pct)
-        used_liquidity = self._total_liquidity * (price_impact / self._price_impact_pct).sqrt()
-
-        assert used_liquidity <= self._total_liquidity
-        return max(Decimal(0), used_liquidity - self._used_liquidity)
+        if price_impact == Decimal(0):
+            ret = Decimal(0)
+        elif self.available_liquidity == Decimal(0) or self._price_impact_pct == Decimal(0):
+            raise errors.Error("Not enough liquidity")
+        else:
+            price_impact = min(price_impact, self._price_impact_pct)
+            used_liquidity = self._total_liquidity * (price_impact / self._price_impact_pct).sqrt()
+
+            assert used_liquidity <= self._total_liquidity
+            ret = max(Decimal(0), used_liquidity - self._used_liquidity)
+        return ret

basana/backtesting/orders.py

@@ -254,8 +254,11 @@ def __init__(
         self._limit_price = limit_price
 
     def get_balance_updates(self, bar: bar.Bar, liquidity_strategy: liquidity.LiquidityStrategy) -> Dict[str, Decimal]:
-        price = None
         amount = min(self.amount_pending, liquidity_strategy.available_liquidity)
+        if not amount:
+            return {}
+
+        price = None
         base_sign = helpers.get_base_sign_for_operation(self.operation)
 
         if self.operation == OrderOperation.BUY:
@@ -275,7 +278,7 @@ def get_balance_updates(self, bar: bar.Bar, liquidity_strategy: liquidity.Liquid
                 price = self._limit_price
 
         ret = {}
-        if price:
+        if amount and price:
             ret = {
                 self.pair.base_symbol: amount * base_sign,
                 self.pair.quote_symbol: price * amount * -base_sign
@@ -384,8 +387,8 @@ def get_balance_updates_before_stop_hit(
         assert not self._stop_price_hit
 
         price = None
-        amount = min(self.amount_pending, liquidity_strategy.available_liquidity)
         base_sign = helpers.get_base_sign_for_operation(self.operation)
+        amount = min(self.amount_pending, liquidity_strategy.available_liquidity)
 
         if self.operation == OrderOperation.BUY:
             # Stop price was hit at bar open.
@@ -428,7 +431,7 @@ def get_balance_updates_before_stop_hit(
                 price = slipped_price(price, self.operation, amount, liquidity_strategy, cap_low=self._limit_price)
 
         ret = {}
-        if price is not None:
+        if amount and price:
             ret = {
                 self.pair.base_symbol: amount * base_sign,
                 self.pair.quote_symbol: price * amount * -base_sign
@@ -460,7 +463,7 @@ def get_balance_updates_after_stop_hit(
                 price = self._limit_price
 
         ret = {}
-        if price:
+        if amount and price:
             ret = {
                 self.pair.base_symbol: amount * base_sign,
                 self.pair.quote_symbol: price * amount * -base_sign

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "basana"
-version = "1.6.1"
+version = "1.6.2"
 homepage = "https://github.com/gbeced/basana"
 repository = "https://github.com/gbeced/basana"
 documentation = "https://basana.readthedocs.io/en/latest/"

tests/test_backtesting_liquidity.py

@@ -16,6 +16,8 @@
 
 from decimal import Decimal
 
+import pytest
+
 from basana.core import pair, bar, dt
 from basana.backtesting import liquidity
 
@@ -62,10 +64,62 @@ def test_volume_share_impact():
     assert strat.available_liquidity == Decimal("2500")
 
     cummulative_slippage = Decimal(0)
-    for i in range(10):
+    for _ in range(10):
         cummulative_slippage += strat.take_liquidity(Decimal("250"))
     assert cummulative_slippage == Decimal("0.1")
+    assert strat.available_liquidity == Decimal("0")
+
+    with pytest.raises(Exception, match="Not enough liquidity"):
+        strat.calculate_amount(Decimal("0.1"))
+    with pytest.raises(Exception, match="Not enough liquidity"):
+        strat.calculate_price_impact(Decimal("1"))
+
+
+def test_volume_share_impact_without_liquidity():
+    strat = liquidity.VolumeShareImpact()
+    strat.on_bar(
+        bar.Bar(
+            dt.utc_now(), pair.Pair("BTC", "USD"),
+            Decimal("50000"), Decimal("70000"), Decimal("49900"), Decimal("69999.07"), Decimal(0)
+        )
+    )
+
+    assert strat.available_liquidity == Decimal(0)
+    assert strat.calculate_price_impact(Decimal(0)) == Decimal(0)
+    assert strat.calculate_amount(Decimal(0)) == Decimal(0)
+    assert strat.take_liquidity(Decimal(0)) == Decimal(0)
+
+    error_msg = "Not enough liquidity"
+    with pytest.raises(Exception, match=error_msg):
+        strat.calculate_price_impact(Decimal("0.00001"))
+    with pytest.raises(Exception, match=error_msg):
+        strat.calculate_amount(Decimal("0.01"))
+    with pytest.raises(Exception, match=error_msg):
+        strat.take_liquidity(Decimal("0.00001"))
+
+
+def test_volume_share_impact_with_zero_price_impact():
+    strat = liquidity.VolumeShareImpact(price_impact=Decimal(0))
+    strat.on_bar(
+        bar.Bar(
+            dt.utc_now(), pair.Pair("BTC", "USD"),
+            Decimal("50000"), Decimal("70000"), Decimal("49900"), Decimal("69999.07"), Decimal("100")
+        )
+    )
+
+    assert strat.available_liquidity == Decimal(25)
+    assert strat.calculate_price_impact(Decimal(0)) == Decimal(0)
+    assert strat.calculate_price_impact(Decimal(1)) == Decimal(0)
+    assert strat.calculate_price_impact(Decimal(25)) == Decimal(0)
+    with pytest.raises(Exception, match="Not enough liquidity"):
+        strat.calculate_price_impact(Decimal(26))
+
+    assert strat.calculate_amount(Decimal(0)) == Decimal(0)
+    with pytest.raises(Exception, match="Not enough liquidity"):
+        strat.calculate_amount(Decimal(1))
 
-    assert strat.calculate_amount(Decimal("0.1")) == Decimal("0")
-    assert strat.calculate_amount(Decimal("0.01")) == Decimal("0")
-    assert strat.calculate_amount(Decimal("0.001")) == Decimal("0")
+    assert strat.take_liquidity(Decimal(0)) == Decimal(0)
+    assert strat.take_liquidity(Decimal(5)) == Decimal(0)
+    assert strat.take_liquidity(Decimal(20)) == Decimal(0)
+    with pytest.raises(Exception, match="Not enough liquidity"):
+        strat.take_liquidity(Decimal(1))

tests/test_backtesting_orders.py

@@ -322,3 +322,32 @@ def test_get_balance_updates_with_finite_liquidity(order, expected_balance_updat
     balance_updates = value_map.ValueMap(order.get_balance_updates(b, ls))
     e._order_mgr._round_balance_updates(balance_updates, order.pair)
     assert balance_updates == expected_balance_updates
+
+
+@pytest.mark.parametrize(
+    "order", [
+        LimitOrder(
+            uuid4().hex, OrderOperation.SELL, Pair("BTC", "USD"), Decimal("1"), Decimal("39000.01"), OrderState.OPEN
+        ),
+        LimitOrder(
+            uuid4().hex, OrderOperation.BUY, Pair("BTC", "USD"), Decimal("1"), Decimal("49000.01"), OrderState.OPEN
+        ),
+        StopLimitOrder(
+            uuid4().hex, OrderOperation.SELL, Pair("BTC", "USD"), Decimal("1"), Decimal("39000.01"),
+            Decimal("39000.01"), OrderState.OPEN
+        ),
+    ]
+)
+def test_no_liquidity_calculating_balance_updates(order, backtesting_dispatcher):
+    e = exchange.Exchange(backtesting_dispatcher, {})  # Just for rounding purposes
+    p = Pair("BTC", "USD")
+    e.set_pair_info(p, PairInfo(8, 2))
+
+    ls = liquidity.VolumeShareImpact()
+    b = bar.Bar(
+        dt.local_now(), p,
+        Decimal("40001.76"), Decimal("50401.01"), Decimal("30000"), Decimal("45157.09"), Decimal("0")
+    )
+    ls.on_bar(b)
+
+    assert order.get_balance_updates(b, ls) == {}