Consolidate test providers to test_kit

nautechsystems · Mar 11, 2023 · 37df187 · 37df187
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diff --git a/RELEASES.md b/RELEASES.md
@@ -3,28 +3,26 @@
 Released on 11th March 2023 (UTC).
 
 ### Breaking Changes
-- Moved `TestInstrumentProvider` to `backtest.providers`
-- Moved `TestDataProvider` to `test_kit.providers`
-- Moved wranglers to `persistence.wranglers`
-- Moved loaders to `persistence.loaders` (to be consolidated)
+- Moved `backtest.providers` to `test_kit.providers`
+- Moved `backtest.data.wranglers` to `persistence.wranglers` (to be consolidated)
+- Moved `backtest.data.loaders` to `persistence.loaders` (to be consolidated)
 - Renamed `from_datetime` to `start` across data request methods and properties
 - Renamed `to_datetime` to `end` across data request methods and properties
-- Change parquet catalog schema dictionary integer key widths/types
 - Removed `RiskEngineConfig.deny_modify_pending_update` (as now redundant with new pending event sequencing)
 - Removed redundant log sink machinery
-- All pickled data due Cython 3.0.0b1
+- Changed parquet catalog schema dictionary integer key widths/types
+- Invalidated all pickled data due to Cython 3.0.0b1 upgrade
 
 ### Enhancements
 - Added logging to file at core Rust level
 - Added `DataCatalogConfig` for more cohesive data catalog configuration
 - Added `DataEngine.register_catalog` to support historical data requests
 - Added `catalog_config` field to base `NautilusKernelConfig`
+- Changed to immediately caching orders and order lists in `Strategy`
+- Changed to checking duplicate `client_order_id` and `order_list_id` in `Strategy`
+- Changed generating and applying `OrderPendingUpdate` and `OrderPendingCancel` in `Strategy`
 - `PortfolioAnalyzer` PnL statistics now take optional `unrealized_pnl`
 - Backtest performance statistics now include unrealized PnL in total PnL
-- Now immediately caching orders and order lists in `Strategy`
-- Now checking duplicate `client_order_id` and `order_list_id` in `Strategy`
-- Now generates and applies `OrderPendingUpdate` and `OrderPendingCancel` in `Strategy`
-- Upgrade Cython to `3.0.0b1`
 
 ### Fixes
 - Fixed Binance Futures trigger type parsing

diff --git a/docs/user_guide/backtest_example.md b/docs/user_guide/backtest_example.md
@@ -18,7 +18,7 @@ from nautilus_trader.core.datetime import dt_to_unix_nanos
 from nautilus_trader.model.data.tick import QuoteTick
 from nautilus_trader.model.objects import Price, Quantity
 
-from nautilus_trader.backtest.providers import TestInstrumentProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig
 from nautilus_trader.config.common import ImportableStrategyConfig
 from nautilus_trader.persistence.catalog import ParquetDataCatalog

diff --git a/docs/user_guide/loading_external_data.md b/docs/user_guide/loading_external_data.md
@@ -111,7 +111,7 @@ See [Instruments](./instruments.md) for more details on creating other instrumen
 
 ```python
 from nautilus_trader.persistence.external.core import process_files, write_objects
-from nautilus_trader.backtest.providers import TestInstrumentProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 # Use nautilus test helpers to create a EUR/USD FX instrument for our purposes
 instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD")

diff --git a/examples/backtest/betfair_backtest_orderbook_imbalance.py b/examples/backtest/betfair_backtest_orderbook_imbalance.py
@@ -23,7 +23,6 @@
 from nautilus_trader.adapters.betfair.parsing.core import BetfairParser
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance
 from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalanceConfig
 from nautilus_trader.model.currencies import GBP
@@ -32,6 +31,7 @@
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import ClientId
 from nautilus_trader.model.objects import Money
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider
 
 

diff --git a/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py b/examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py
@@ -21,7 +21,6 @@
 
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
 from nautilus_trader.model.currencies import ETH
@@ -32,6 +31,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py b/examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py
@@ -21,7 +21,6 @@
 
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStop
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStopConfig
 from nautilus_trader.model.currencies import ETH
@@ -32,6 +31,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py b/examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py
@@ -23,7 +23,6 @@
 from nautilus_trader.backtest.engine import BacktestEngineConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
 from nautilus_trader.model.currencies import USD
@@ -33,6 +32,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/fx_ema_cross_audusd_ticks.py b/examples/backtest/fx_ema_cross_audusd_ticks.py
@@ -24,7 +24,6 @@
 from nautilus_trader.backtest.models import FillModel
 from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
 from nautilus_trader.model.currencies import USD
@@ -34,6 +33,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py b/examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py
@@ -24,7 +24,6 @@
 from nautilus_trader.backtest.models import FillModel
 from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.config.common import RiskEngineConfig
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracket
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracketConfig
@@ -36,6 +35,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import BarDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py b/examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py
@@ -24,7 +24,6 @@
 from nautilus_trader.backtest.models import FillModel
 from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.config.common import RiskEngineConfig
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracket
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracketConfig
@@ -35,6 +34,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/backtest/fx_market_maker_gbpusd_bars.py b/examples/backtest/fx_market_maker_gbpusd_bars.py
@@ -25,7 +25,6 @@
 from nautilus_trader.backtest.models import FillModel
 from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
-from nautilus_trader.backtest.providers import TestInstrumentProvider
 from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMaker
 from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMakerConfig
 from nautilus_trader.model.currencies import USD
@@ -35,6 +34,7 @@
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
 from nautilus_trader.test_kit.providers import TestDataProvider
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
 
 
 if __name__ == "__main__":

diff --git a/examples/notebooks/backtest_fx_usdjpy.ipynb b/examples/notebooks/backtest_fx_usdjpy.ipynb
@@ -19,7 +19,7 @@
     "from nautilus_trader.backtest.models import FillModel\n",
     "from nautilus_trader.backtest.modules import FXRolloverInterestConfig\n",
     "from nautilus_trader.backtest.modules import FXRolloverInterestModule\n",
-    "from nautilus_trader.backtest.providers import TestInstrumentProvider\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.config.common import RiskEngineConfig\n",
     "from nautilus_trader.examples.strategies.ema_cross import EMACross\n",
     "from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig\n",

diff --git a/examples/notebooks/external_data_backtest.ipynb b/examples/notebooks/external_data_backtest.ipynb
@@ -18,7 +18,7 @@
     "from nautilus_trader.model.data.tick import QuoteTick\n",
     "from nautilus_trader.model.objects import Price, Quantity\n",
     "\n",
-    "from nautilus_trader.backtest.providers import TestInstrumentProvider\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig\n",
     "from nautilus_trader.config.common import ImportableStrategyConfig\n",
     "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n",

diff --git a/examples/notebooks/quick_start.ipynb b/examples/notebooks/quick_start.ipynb
@@ -32,7 +32,7 @@
     "from nautilus_trader.model.data.tick import QuoteTick\n",
     "from nautilus_trader.model.objects import Price, Quantity\n",
     "\n",
-    "from nautilus_trader.backtest.providers import TestInstrumentProvider\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig\n",
     "from nautilus_trader.config.common import ImportableStrategyConfig\n",
     "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n",