Issue in grid trading

[SUSHANTH009]

Hi,I apologize if there is any silly mistake

I am facing this issue

import numpy as np

from numba import njit, uint64, float64
from numba.typed import Dict

from hftbacktest import BUY, SELL, GTX, LIMIT

@njit
def gridtrading(hbt, recorder):
asset_no = 0
tick_size = hbt.depth(asset_no).tick_size
grid_num = 20
max_position = 5
grid_interval = tick_size * 10
half_spread = tick_size * 20

# Running interval in nanoseconds.
while hbt.elapse(100_000_000) == 0:
    # Clears cancelled, filled or expired orders.        
    hbt.clear_inactive_orders(asset_no)

    depth = hbt.depth(asset_no)
    position = hbt.position(asset_no)
    orders = hbt.orders(asset_no)
    
    best_bid = depth.best_bid
    best_ask = depth.best_ask
    
    mid_price = (best_bid + best_ask) / 2.0

    order_qty = 0.1 # np.round(notional_order_qty / mid_price / hbt.depth(asset_no).lot_size) * hbt.depth(asset_no).lot_size
    
    # Aligns the prices to the grid.
    bid_price = np.floor((mid_price - half_spread) / grid_interval) * grid_interval
    ask_price = np.ceil((mid_price + half_spread) / grid_interval) * grid_interval

    #--------------------------------------------------------
    # Updates quotes.
    
    # Creates a new grid for buy orders.
    new_bid_orders = Dict.empty(np.uint64, np.float64)
    if position < max_position and np.isfinite(bid_price): # position * mid_price < max_notional_position
        for i in range(grid_num):
            bid_price_tick = round(bid_price / tick_size)
            
            # order price in tick is used as order id.
            new_bid_orders[uint64(bid_price_tick)] = bid_price
            
            bid_price -= grid_interval

    # Creates a new grid for sell orders.
    new_ask_orders = Dict.empty(np.uint64, np.float64)
    if position > -max_position and np.isfinite(ask_price): # position * mid_price > -max_notional_position
        for i in range(grid_num):
            ask_price_tick = round(ask_price / tick_size)
            
            # order price in tick is used as order id.
            new_ask_orders[uint64(ask_price_tick)] = ask_price

            ask_price += grid_interval
            
    order_values = orders.values();
    while order_values.has_next():
        order = order_values.get()
        # Cancels if a working order is not in the new grid.
        if order.cancellable:
            if (
                (order.side == BUY and order.order_id not in new_bid_orders)
                or (order.side == SELL and order.order_id not in new_ask_orders)
            ):
                hbt.cancel(asset_no, order.order_id, False)
                
    for order_id, order_price in new_bid_orders.items():
        # Posts a new buy order if there is no working order at the price on the new grid.
        if order_id not in orders:
            hbt.submit_buy_order(asset_no, order_id, order_price, order_qty, GTX, LIMIT, False)
            
    for order_id, order_price in new_ask_orders.items():
        # Posts a new sell order if there is no working order at the price on the new grid.
        if order_id not in orders:
            hbt.submit_sell_order(asset_no, order_id, order_price, order_qty, GTX, LIMIT, False)
    
    # Records the current state for stat calculation.
    recorder.record(hbt)
return True

from hftbacktest import BacktestAsset, ROIVectorMarketDepthBacktest, Recorder

asset = (
BacktestAsset()
.data([
'data/btcusdt_20240819.npz',
'data/btcusdt_20240820.npz',
'data/btcusdt_20240821.npz',
'data/btcusdt_20240822.npz',
'data/btcusdt_20240823.npz'
])
.initial_snapshot('data/btcusdt_20240818.npz')
.linear_asset(1.0)
.intp_order_latency([
'data/feed_latency_20240819.npz',
'data/feed_latency_20240820.npz',
'data/feed_latency_20240821.npz',
'data/feed_latency_20240822.npz',
'data/feed_latency_20240823.npz'
])
.power_prob_queue_model(2.0)
.no_partial_fill_exchange()
.trading_value_fee_model(-0.00005, 0.0007)
.tick_size(0.01)
.lot_size(0.001)
.roi_lb(0.0)
.roi_ub(3000.0)
)
hbt = ROIVectorMarketDepthBacktest([asset])

recorder = Recorder(1, 5_000_000)

%%time
gridtrading(hbt, recorder.recorder)

_ = hbt.close()

from hftbacktest.stats import LinearAssetRecord

stats = LinearAssetRecord(recorder.get(0)).stats(book_size=1000)
stats.summary()

start | end | SR | Sortino | Return | MaxDrawdown | DailyNumberOfTrades | DailyTurnover | ReturnOverMDD | ReturnOverTrade | MaxPositionValue

2024-08-19 00:00:00 | 2024-08-23 23:59:50 | NaN | NaN | NaN | 0.6 | 12.000278 | 148.706542 | NaN | NaN | 743822.4

why ami getting Nan

[nkaz001]

Please ensure that you have correctly input the tick size, lot size, ROI upper bound (roi_ub), and ROI lower bound (roi_lb). See the tutorials and documentation for guidance.