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Add number of messages to recorder; add possibility to store as parquet file #268

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278 changes: 255 additions & 23 deletions hftbacktest/src/backtest/recorder.rs
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Original file line number Diff line number Diff line change
@@ -1,10 +1,18 @@
use std::{
fs::File,
fs::{File, create_dir_all},
io::{BufWriter, Error, Write},
path::Path,
sync::Arc,
};

use arrow::{
array::{ArrayRef, PrimitiveBuilder, RecordBatch},
datatypes::{DataType, Float64Type, Int64Type, Schema},
error::ArrowError,
};
use hftbacktest_derive::NpyDTyped;
use once_cell::sync::Lazy;
use parquet::{arrow::ArrowWriter, basic::Compression, file::properties::WriterProperties};
use zip::{ZipWriter, write::SimpleFileOptions};

use crate::{
Expand All @@ -22,6 +30,10 @@ struct Record {
balance: f64,
fee: f64,
num_trades: i64,
num_messages: i64,
num_cancellations: i64,
num_creations: i64,
num_modifications: i64,
trading_volume: f64,
trading_value: f64,
}
Expand All @@ -34,6 +46,140 @@ pub struct BacktestRecorder {
values: Vec<Vec<Record>>,
}

pub static ACCOUNT_STATE_DATA_POINT_FIELDS: Lazy<Vec<arrow::datatypes::Field>> = Lazy::new(|| {
vec![
arrow::datatypes::Field::new("timestamp", DataType::Int64, true),
arrow::datatypes::Field::new("balance", DataType::Float64, true),
arrow::datatypes::Field::new("position", DataType::Float64, true),
arrow::datatypes::Field::new("fee", DataType::Float64, true),
arrow::datatypes::Field::new("trading_volume", DataType::Float64, true),
arrow::datatypes::Field::new("trading_value", DataType::Float64, true),
arrow::datatypes::Field::new("num_trades", DataType::Int64, true),
arrow::datatypes::Field::new("num_messages", DataType::Int64, true),
arrow::datatypes::Field::new("num_cancellations", DataType::Int64, true),
arrow::datatypes::Field::new("num_creations", DataType::Int64, true),
arrow::datatypes::Field::new("num_modifications", DataType::Int64, true),
arrow::datatypes::Field::new("price", DataType::Float64, true),
]
});

pub trait ColumnsBuilder<'a> {
type T;

fn get_batch(&mut self) -> Result<RecordBatch, ArrowError>;
fn append(&mut self, msg: &'a Self::T) -> Result<(), ArrowError>;

fn reset(&mut self) -> Result<(), ArrowError>;
}

pub struct AccountStateDataPointColumnsBuilder {
schema: Schema,
timestamp_builder: PrimitiveBuilder<Int64Type>,
balance_builder: PrimitiveBuilder<Float64Type>,
position_builder: PrimitiveBuilder<Float64Type>,
fee_builder: PrimitiveBuilder<Float64Type>,
trading_volume_builder: PrimitiveBuilder<Float64Type>,
trading_value_builder: PrimitiveBuilder<Float64Type>,
num_trades_builder: PrimitiveBuilder<Int64Type>,
num_messages_builder: PrimitiveBuilder<Int64Type>,
num_cancellations_builder: PrimitiveBuilder<Int64Type>,
num_creations_builder: PrimitiveBuilder<Int64Type>,
num_modifications_builder: PrimitiveBuilder<Int64Type>,
price_builder: PrimitiveBuilder<Float64Type>,
}

pub struct AccountStateDataPoint {
pub timestamp: i64,
pub balance: f64,
pub position: f64,
pub fee: f64,
pub trading_volume: f64,
pub trading_value: f64,
pub num_trades: i64,
pub num_messages: i64,
pub num_cancellations: i64,
pub num_creations: i64,
pub num_modifications: i64,
pub price: f64,
}

impl<'a> ColumnsBuilder<'a> for AccountStateDataPointColumnsBuilder {
type T = AccountStateDataPoint;

fn get_batch(&mut self) -> Result<RecordBatch, ArrowError> {
let arrays: Vec<ArrayRef> = vec![
Arc::new(self.timestamp_builder.finish()),
Arc::new(self.balance_builder.finish()),
Arc::new(self.position_builder.finish()),
Arc::new(self.fee_builder.finish()),
Arc::new(self.trading_volume_builder.finish()),
Arc::new(self.trading_value_builder.finish()),
Arc::new(self.num_trades_builder.finish()),
Arc::new(self.num_messages_builder.finish()),
Arc::new(self.num_cancellations_builder.finish()),
Arc::new(self.num_creations_builder.finish()),
Arc::new(self.num_modifications_builder.finish()),
Arc::new(self.price_builder.finish()),
];
let batch = RecordBatch::try_new(Arc::new(self.schema.clone()), arrays)?;
Ok(batch)
}

fn append(&mut self, msg: &AccountStateDataPoint) -> Result<(), ArrowError> {
self.timestamp_builder.append_value(msg.timestamp);
self.balance_builder.append_value(msg.balance);
self.position_builder.append_value(msg.position);
self.fee_builder.append_value(msg.fee);
self.trading_volume_builder.append_value(msg.trading_volume);
self.trading_value_builder.append_value(msg.trading_value);
self.num_trades_builder.append_value(msg.num_trades);
self.num_messages_builder.append_value(msg.num_messages);
self.num_cancellations_builder
.append_value(msg.num_cancellations);
self.num_creations_builder.append_value(msg.num_creations);
self.num_modifications_builder
.append_value(msg.num_modifications);
self.price_builder.append_value(msg.price);
return Ok(());
}

fn reset(&mut self) -> Result<(), ArrowError> {
self.timestamp_builder = Default::default();
self.balance_builder = Default::default();
self.position_builder = Default::default();
self.fee_builder = Default::default();
self.trading_volume_builder = Default::default();
self.trading_value_builder = Default::default();
self.num_trades_builder = Default::default();
self.num_messages_builder = Default::default();
self.num_cancellations_builder = Default::default();
self.num_creations_builder = Default::default();
self.num_modifications_builder = Default::default();
self.price_builder = Default::default();
return Ok(());
}
}

impl AccountStateDataPointColumnsBuilder {
pub fn new(schema: Schema) -> AccountStateDataPointColumnsBuilder {
AccountStateDataPointColumnsBuilder {
schema,
timestamp_builder: Default::default(),
balance_builder: Default::default(),
position_builder: Default::default(),
fee_builder: Default::default(),
trading_volume_builder: Default::default(),
trading_value_builder: Default::default(),
num_trades_builder: Default::default(),
num_messages_builder: Default::default(),
num_cancellations_builder: Default::default(),
num_creations_builder: Default::default(),
num_modifications_builder: Default::default(),
price_builder: Default::default(),
}
}
}

impl Recorder for BacktestRecorder {
type Error = Error;

Expand All @@ -57,6 +203,10 @@ impl Recorder for BacktestRecorder {
trading_volume: state_values.trading_volume,
trading_value: state_values.trading_value,
num_trades: state_values.num_trades,
num_messages: state_values.num_messages,
num_cancellations: state_values.num_cancellations,
num_creations: state_values.num_creations,
num_modifications: state_values.num_modifications,
});
}
Ok(())
Expand Down Expand Up @@ -91,38 +241,53 @@ impl BacktestRecorder {
P: AsRef<Path>,
{
let prefix = prefix.as_ref();
let base_path = path.as_ref();
create_dir_all(base_path)?;

// Buffer output to reduce frequent file I/O
for (asset_no, values) in self.values.iter().enumerate() {
let file_path = path.as_ref().join(format!("{prefix}{asset_no}.csv"));
let mut file = BufWriter::new(File::create(file_path)?);
writeln!(
file,
"timestamp,balance,position,fee,trading_volume,trading_value,num_trades,price",
let file_path = base_path.join(format!("{prefix}{asset_no}.csv"));
let mut file = BufWriter::new(File::create(file_path)?); // Use BufWriter for buffered writing

// Write header
file.write_all(
b"timestamp,balance,position,fee,trading_volume,trading_value,num_trades,num_messages,num_cancellations,num_creations,num_modifications,price\n",
)?;
for Record {
timestamp,
balance,
position,
fee,
trading_volume,
trading_value,
num_trades,
price: mid_price,
} in values
{
writeln!(
file,
"{timestamp},{balance},{position},{fee},{trading_volume},{trading_value},{num_trades},{mid_price}"
)?;

// Write records
for record in values {
let line = format!(
"{},{},{},{},{},{},{},{},{},{},{},{}\n",
record.timestamp,
record.balance,
record.position,
record.fee,
record.trading_volume,
record.trading_value,
record.num_trades,
record.num_messages,
record.num_cancellations,
record.num_creations,
record.num_modifications,
record.price,
);
file.write_all(line.as_bytes())?;
}
}
Ok(())
}

pub fn to_npz<P>(&self, path: P) -> Result<(), Error>
pub fn to_npz<Prefix, P>(&self, prefix: Prefix, path: P) -> Result<(), Error>
where
Prefix: AsRef<str>,
P: AsRef<Path>,
{
let file = File::create(path)?;
let prefix = prefix.as_ref();
let base_path = path.as_ref();
create_dir_all(base_path)?;

let file_path = base_path.join(format!("{prefix}.npz"));
let file = File::create(file_path)?;

let mut zip = ZipWriter::new(file);

Expand All @@ -138,4 +303,71 @@ impl BacktestRecorder {
zip.finish()?;
Ok(())
}

pub fn to_parquet<Prefix, P>(&self, prefix: Prefix, path: P) -> Result<(), Error>
where
Prefix: AsRef<str>,
P: AsRef<Path>,
{
let prefix = prefix.as_ref();
let base_path = path.as_ref();
create_dir_all(base_path)?;

// Buffer output to reduce frequent file I/O
for (asset_no, values) in self.values.iter().enumerate() {
let parquet_schema = Schema::new(ACCOUNT_STATE_DATA_POINT_FIELDS.clone());
let arrow_schema = Arc::new(parquet_schema.clone());
let parquet_props = WriterProperties::builder()
.set_compression(Compression::SNAPPY)
.build();

let file_path = base_path.join(format!("{prefix}{asset_no}.snappy.parquet"));
let file = File::create(file_path).unwrap();

let mut wrt =
ArrowWriter::try_new(file, arrow_schema.clone(), Some(parquet_props)).unwrap();

let mut builder = AccountStateDataPointColumnsBuilder::new(parquet_schema.clone());

let max_rows_per_batch: usize = 10;
let mut row: usize = 0;

// Write records
for record in values {
row += 1;
let single_row = AccountStateDataPoint {
timestamp: record.timestamp,
balance: record.balance,
position: record.position,
fee: record.fee,
trading_volume: record.trading_volume,
trading_value: record.trading_value,
num_trades: record.num_trades,
num_messages: record.num_messages,
num_cancellations: record.num_cancellations,
num_creations: record.num_creations,
num_modifications: record.num_modifications,
price: record.price,
};
builder.append(&single_row).unwrap();
row += 1;

if row > 0 && row % max_rows_per_batch == 0 {
let batch = builder.get_batch().unwrap();
wrt.write(&batch).unwrap();
builder.reset().unwrap();
}
}

// Write remaining data
{
let batch = builder.get_batch().unwrap();
wrt.write(&batch).unwrap();
builder.reset().unwrap();
}

wrt.close().unwrap();
}
Ok(())
}
}
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