Basana

Basana is a Python async and event driven framework for algorithmic trading, with a focus on crypto currencies.

Key Features

• Backtesting exchange so you can try your trading strategies before using real funds.
• Live trading at Binance and Bitstamp crypto currency exchanges.
• Asynchronous I/O and event driven.

Getting Started

Installation

The examples use TALIpp for the technical indicators, so we need to install talipp as well.

$ pip install basana[charts] talipp

Download historical data for backtesting

$ python -m basana.external.bitstamp.tools.download_bars -c BTC/USD -p 1d -s 2014-01-01 -e 2021-01-31 > bitstamp_btcusd_day.csv

Backtesting using SMA and market orders

from decimal import Decimal
import asyncio
import logging

from talipp.indicators import SMA

from basana.backtesting import charts
from basana.external.bitstamp import csv
import basana as bs
import basana.backtesting.exchange as backtesting_exchange


# The strategy implements the set of rules that define when to enter or exit a trade based on market conditions.
class SMA_Strategy(bs.TradingSignalSource):
    def __init__(self, dispatcher: bs.EventDispatcher, period: int):
        super().__init__(dispatcher)
        self.sma = SMA(period)
        self._values = (None, None)

    async def on_bar_event(self, bar_event: bs.BarEvent):
        # Feed the technical indicator.
        value = float(bar_event.bar.close)
        self.sma.add_input_value(value)

        # Keep a small window of values to check if there is a crossover.
        self._values = (self._values[-1], value)

        # Is the indicator ready ?
        if len(self.sma) < 2:
            return

        # Price crossed below SMA ?
        if self._values[-2] >= self.sma[-2] and self._values[-1] < self.sma[-1]:
            self.push(bs.TradingSignal(bar_event.when, bs.OrderOperation.SELL, bar_event.bar.pair))
        # Price crossed above SMA ?
        elif self._values[-2] <= self.sma[-2] and self._values[-1] > self.sma[-1]:
            self.push(bs.TradingSignal(bar_event.when, bs.OrderOperation.BUY, bar_event.bar.pair))


# The position manager is responsible for executing trades and managing positions.
class PositionManager:
    def __init__(self, exchange: backtesting_exchange.Exchange, position_amount: Decimal):
        assert position_amount > 0
        self._exchange = exchange
        self._position_amount = position_amount

    async def on_trading_signal(self, trading_signal: bs.TradingSignal):
        logging.info("Trading signal: operation=%s pair=%s", trading_signal.operation, trading_signal.pair)
        try:
            # Calculate the order size.
            balances = await self._exchange.get_balances()
            if trading_signal.operation == bs.OrderOperation.BUY:
                _, ask = await self._exchange.get_bid_ask(trading_signal.pair)
                balance = balances[trading_signal.pair.quote_symbol]
                order_size = min(self._position_amount, balance.available) / ask
            else:
                balance = balances[trading_signal.pair.base_symbol]
                order_size = balance.available
            pair_info = await self._exchange.get_pair_info(trading_signal.pair)
            order_size = bs.truncate_decimal(order_size, pair_info.base_precision)
            if not order_size:
                return

            logging.info(
                "Creating %s market order for %s: amount=%s", trading_signal.operation, trading_signal.pair, order_size
            )
            await self._exchange.create_market_order(trading_signal.operation, trading_signal.pair, order_size)
        except Exception as e:
            logging.error(e)


async def main():
    logging.basicConfig(level=logging.INFO, format="[%(asctime)s %(levelname)s] %(message)s")

    event_dispatcher = bs.backtesting_dispatcher()
    pair = bs.Pair("BTC", "USD")
    exchange = backtesting_exchange.Exchange(
        event_dispatcher,
        initial_balances={"BTC": Decimal(0), "USD": Decimal(10000)}
    )
    exchange.set_pair_info(pair, bs.PairInfo(8, 2))

    # Connect the strategy to the bar events from the exchange.
    strategy = SMA_Strategy(event_dispatcher, 15)
    exchange.subscribe_to_bar_events(pair, strategy.on_bar_event)

    # Connect the position manager to the strategy signals.
    position_mgr = PositionManager(exchange, Decimal(1000))
    strategy.subscribe_to_trading_signals(position_mgr.on_trading_signal)

    # Load bars from CSV files.
    exchange.add_bar_source(csv.BarSource(pair, "bitstamp_btcusd_day.csv", "1d"))

    # Setup the chart.
    chart = charts.LineCharts(exchange)
    chart.add_pair(pair)
    chart.add_pair_indicator("SMA", pair, charts.DataPointFromSequence(strategy.sma))
    chart.add_portfolio_value("USD")

    # Run the backtest.
    await event_dispatcher.run()

    # Log balances.
    balances = await exchange.get_balances()
    for currency, balance in balances.items():
        logging.info("%s balance: %s", currency, balance.available)

    chart.show()

if __name__ == "__main__":
    asyncio.run(main())

The Basana repository comes with a number of examples you can experiment with or use as a template for your own projects. Note that these are provided for educational purposes only. Use at your own risk.

Documentation

https://basana.readthedocs.io/en/latest/

Help

You can seek help with using Basana in the discussion area on GitHub.