Cassandre trading bot framework

Dry mode & backtesting

Dry mode

Cassandre provides a dry mode allowing you to simulate a virtual exchange and its replies. You can enable it by setting the parameter cassandre.trading.bot.exchange.modes.dry to true in src/test/resources/application.properties.

Cassandre will emulate valid exchange replies to your orders and will increase/decrease your virtual account. This way, you can test your strategy, sees the gains you will make, and validate you have the results you expect.

The first step is to configure your(s) virtual account(s) balances; in Dry mode, Cassandre will search and import all files starting with user- and ending with .tsv or .csv in src/test/resources.

In those files, for each account, you set the balances of each cryptocurrency. For example, this is the content of user-trade.csv :

BTC,0.99962937
USDT,1000
ETH,10

When you start Cassandre, you will see this:

22:53:38 - Adding account 'trade'
22:53:38 - - Adding balance 0.99962937 BTC
22:53:38 - - Adding balance 1000 USDT
22:53:38 - - Adding balance 10 ETH

Now you can create orders and positions, and this will increase/decrease your virtual account. Of course, Cassandre checks that you have enough assets before accepting your orders.

Backtesting

In simple words, backtesting a strategy is the process of testing a trading strategy on prior time periods. Cassandre trading bot allows you to simulate your bots' reaction to historical data during tests.

The first step is to add cassandre-trading-bot-spring-boot-starter-testopen in new window to your project dependency.

Edit your pom.xml file and add this dependency :


<dependencies>
    ...
    <dependency>
        <groupId>tech.cassandre.trading.bot</groupId>
        <artifactId>cassandre-trading-bot-spring-boot-starter-test</artifactId>
        <version>6.0.1</version>
        <scope>test</scope>
    </dependency>
    ...
</dependencies>

Now, we need to generate the data we want to use during the JUnit tests. We can use the Kucoin APIopen in new window; to do so, run this on the command line :

SYMBOL=BTC-USDT
START_DATE=`date --date="3 months ago" +"%s"`
END_DATE=`date +"%s"`
echo '"TIMESTAMP", "OPEN", "CLOSE", "HIGH", "LOW", "VOLUME", "QUOTE_VOLUME", "CURRENCY_PAIR"' > src/test/resources/candles-for-backtesting-btc-usdt.csv
curl -s "https://api.kucoin.com/api/v1/market/candles?type=15min&symbol=${SYMBOL}&startAt=${START_DATE}&endAt=${END_DATE}" \
| jq --arg SYMBOL "$SYMBOL" -r -c '.data[] | . + [$SYMBOL] | @csv' \
| tac $1 >> src/test/resources/candles-for-backtesting-btc-usdt.csv

It will create a file named candles-for-backtesting-btc-usdt.csv with your historical data, and this file will imported if your unit test has this annotation:

@Import(TickerFluxMock.class)

Now, during the tests, instead of receiving tickers from the exchange, you will receive tickers imported from the tsv/csv files you put in src/test/resources.