strategy-sim

Functionality

Startegy Sim provide logic for simulating the market, based on the historical data.

You can:

• Get open, close prices per tick
• Open and close positions
• Provide your own logic, strategies and alghoritms
• Get logs for every operation made
• Backtest your strategy

Work in progress

We are currently working on adding new features and functions to the simulator. If you would like to give us feedback or suggest any new functionality feel free to create issue or contact us!

Usage

Instalation

npm i strategy-sim

Getting Started

import StrategySim from 'strategy-sim'

const Simulator = await StrategySim.Simulator.build(StrategySim.Source.MSFT_EOD)

function testFunction(Close:number) {
  console.log(Close)
}

Simulator.provideLogic(({Close}) => testFunction(Close))

Simulator.run()

Run()

The Simulator.run() function is used to start the simulation:

const Simulator = await StrategySim.Simulator.build(StrategySim.Source.MSFT_EOD)

Simulator.run()

It starts the main loop and handles all the simulation processes.

Multiple use

At the current stage of development this funtion can be used only once per Simulator instance

const Simulator = await StrategySim.Simulator.build(StrategySim.Source.MSFT_EOD)

Simulator.run()

// this will not work correctly
Simulator.run()

Positions

Open

To open a single position:

function testFunction(openPosition:()=>any) {

  openPosition()
}

Simulator.provideLogic(({openPosition}) => testFunction(openPosition))

Not checking current balance and using openPosition() may lead to this error:

[2022-12-01T01:02:30.169] [ERROR] simulator - [2979]: trying to openPosition without money //ERROR

openPosition() can also return index of the opened position

function testFunction(openPosition:()=>number) {

  console.log(openPosition());
}

Simulator.provideLogic(({openPosition}) => testFunction(openPosition))

Open multiple positions

If you want to open multiple positions, just pass the number:

function testFunction(openPosition:(count:number)=>any) {

  openPosition(2)

  // this will retrun error:
  openPosition()
}

Simulator.provideLogic(({openPosition}) => testFunction(openPosition))

For dynamic use:

function testFunction(openPosition:(count:number)=>any) {

  openPosition(2)

  // now both will work
  openPosition()
}

Simulator.provideLogic(({openPosition}) => testFunction(openPosition))

Close

Implementing closePosition() function:

function testFunction(closePosition:(...index: number[])=>any) {

  // this will close position with index '0'
  closePosition(0)
}

Simulator.provideLogic(({closePosition}) => testFunction(closePosition))

You can only close position if it wasn't already closed:

[2022-12-01T01:08:55.511] [ERROR] simulator - [1]: Trying to close position that was already closed //ERROR

Multiple indicies

You can not pass any indicies. This will lead to closing first open position in your account:

function testFunction(closePosition:()=>any) {

  // the first open position will be closed
  closePosition()
}

Simulator.provideLogic(({closePosition}) => testFunction(closePosition))

We also provide an option for closing multiple positions at once:

function testFunction(closePosition:(...index: number[])=>any) {

  // this will close position 0 and position 1
  closePosition(0, 1)
}

Simulator.provideLogic(({closePosition}) => testFunction(closePosition))

Passing the wrong index may return an error:

[2022-12-01T01:24:11.865] [ERROR] simulator - [0]: Trying to close position that doesn't exist! //ERROR

Logic

Providing logic

Every single alghorim you want to use is called logic. Logic should be a function, that would be able to run on each tick. As to date, there is no time limit - your logic can work as long as you want (It's recommended that functions' summary run time fits in the chosen interval).

Providing the logic:

function test() {
  console.log("This works on each tick!")
}

Simulator.provideLogic(() => test())

Complex logic

If you need, simulator can provide sertain data. You can use it like that:

function test(Balance:number, Close:number, openPosition:()=>any) {
  if (Balance - Close > 0)
    openPosition()
}

Simulator.provideLogic(({Balance, Close, openPosition}) => test(Balance, Close, openPosition))

Function test() will recieve current account balance, current tick's close price, and it can use openPosition() function. The data will be passed on each tick.

You can obtain this basic informations:

• Open price
• Close price
• Current account balance

Also you can use functions:

• closePosition(...index: number[])
• openPosition()

Multiple functions

You can privde multiple functions for one simulation:

Simulator.provideLogic(({Balance, Close}) => test1(Balance, Close), () => test2())

They will all work on the same data and make operations on the same account. That gives you an option to test your whole strategy at once.

Alghoritms will not run simultaneously. You need to provide logic in the correct orrder.

Data coverage

All our data can be found on the internet for freel.

Sources:

• https://www.dukascopy.com/
• https://yahoo.finances.com/

All data provided is not meant to indicate the actual value at any given point in time