feat: historic prices

vega_sim/scenario/benchmark/configs.py

@@ -1,4 +1,4 @@
-from typing import Union
+from typing import Union, Optional
 from vega_sim.api.market import MarketConfig, SpotMarketConfig
 
 
@@ -9,8 +9,10 @@ def __init__(
         initial_price: float,
         annualised_volatility: float,
         notional_trade_volume: int,
+        historic_data_code: Optional[str] = None,
     ):
         self.market_config = market_config
         self.initial_price = initial_price
         self.annualised_volatility = annualised_volatility
         self.notional_trade_volume = notional_trade_volume
+        self.historic_data_code = historic_data_code

vega_sim/scenario/benchmark/registry.py

@@ -1,3 +1,5 @@
+import datetime
+
 import vega_sim.configs as configs
 from vega_sim.scenario.benchmark.configs import BenchmarkConfig
 from vega_sim.scenario.benchmark.scenario import BenchmarkScenario
@@ -62,6 +64,7 @@
                 initial_price=70000,
                 annualised_volatility=2,
                 notional_trade_volume=100,
+                historic_data_code="BTC-USD",
             )
         ],
     ),
@@ -86,6 +89,7 @@
                 initial_price=4000,
                 annualised_volatility=2,
                 notional_trade_volume=100,
+                historic_data_code="ETH-USD",
             )
         ],
     ),

vega_sim/scenario/benchmark/run.py

@@ -4,6 +4,7 @@
 import datetime
 import argparse
 
+from typing import Optional
 
 from vega_sim.null_service import VegaServiceNull, Ports
 from vega_sim.scenario.constants import Network
@@ -25,6 +26,7 @@ def _run(
     output_dir: str = "plots",
     core_metrics_port: int = 2723,
     data_node_metrics_port: int = 3651,
+    genesis_time: Optional[datetime.datetime] = None,
 ):
 
     with VegaServiceNull(
@@ -38,6 +40,7 @@ def _run(
             Ports.METRICS: core_metrics_port,
             Ports.DATA_NODE_METRICS: data_node_metrics_port,
         },
+        genesis_time=genesis_time,
     ) as vega:
         scenario.run_iteration(
             vega=vega,
@@ -146,11 +149,17 @@ def _run(
     parser = argparse.ArgumentParser()
     parser.add_argument("-m", "--market", required=True, type=str)
     parser.add_argument("-s", "--steps", default=600, type=int)
+    parser.add_argument("-i", "--interval", default=1, type=int)
     parser.add_argument("-p", "--pause", action="store_true")
     parser.add_argument("-d", "--debug", action="store_true")
     parser.add_argument("-o", "--output", action="store_true")
     parser.add_argument("-c", "--console", action="store_true")
     parser.add_argument("-w", "--wallet", action="store_true")
+    parser.add_argument(
+        "--datetime",
+        type=datetime.datetime.fromisoformat,
+        help="Specify datetime to retrieve data from (format: YYYY-MM-DD:HH:mm:ss).",
+    )
     parser.add_argument("--core-metrics-port", default=2723, type=int)
     parser.add_argument("--data-node-metrics-port", default=3651, type=int)
     args = parser.parse_args()
@@ -162,7 +171,10 @@ def _run(
 
     if args.market not in REGISTRY:
         raise ValueError(f"Market {args.market} not found")
-    scenario = REGISTRY[args.market].num_steps = args.steps
+    scenario: BenchmarkScenario = REGISTRY[args.market]
+    scenario.num_steps = args.steps
+    scenario.step_length_seconds = args.interval
+    scenario.historic_start_datetime = args.datetime
 
     _run(
         scenario=REGISTRY[args.market],
@@ -172,4 +184,5 @@ def _run(
         output=args.output,
         core_metrics_port=args.core_metrics_port,
         data_node_metrics_port=args.data_node_metrics_port,
+        genesis_time=args.datetime,
     )

vega_sim/scenario/benchmark/scenario.py

@@ -1,10 +1,15 @@
+import datetime
 import numpy as np
 from typing import Optional, Dict, Any, List
 
 from vega_sim.api.market import MarketConfig
 from vega_sim.scenario.scenario import Scenario
 from vega_sim.scenario.benchmark.configs import BenchmarkConfig
-from vega_sim.scenario.common.utils.price_process import random_walk
+from vega_sim.scenario.common.utils.price_process import (
+    random_walk,
+    get_historic_price_series,
+    Granularity,
+)
 from vega_sim.scenario.constants import Network
 from vega_sim.null_service import VegaServiceNull
 from vega_sim.environment.environment import (
@@ -26,13 +31,41 @@
 )
 
 
+def _historic_price_process(
+    product_id: str,
+    num_steps: int,
+    step_length_seconds: float,
+    start: datetime.datetime,
+) -> List[float]:
+    if step_length_seconds > 86400:
+        granularity = Granularity.DAY
+    elif step_length_seconds > 21600:
+        granularity = Granularity.SIX_HOUR
+    elif step_length_seconds > 6480:
+        granularity = Granularity.HOUR
+    elif step_length_seconds > 900:
+        granularity = Granularity.FIFTEEN_MINUTE
+    elif step_length_seconds > 300:
+        granularity = Granularity.FIVE_MINUTE
+    else:
+        granularity = Granularity.MINUTE
+    end = start + datetime.timedelta(seconds=1.1 * num_steps * granularity.value)
+    return get_historic_price_series(
+        product_id=product_id,
+        granularity=granularity,
+        interpolation=f"{step_length_seconds}S",
+        start=str(start),
+        end=str(end),
+    ).values
+
+
 def _create_price_process(
     random_state: np.random.RandomState,
     num_steps,
     decimal_places,
     initial_price,
     price_sigma,
-):
+) -> List[float]:
     price_process = [initial_price]
 
     while len(price_process) < num_steps + 1:
@@ -75,6 +108,7 @@ def __init__(
         block_length_seconds: float = 1,
         step_length_seconds: Optional[float] = None,
         initial_network_parameters: Dict[str, Any] = None,
+        historic_start_datetime: Optional[str] = None,
         output: bool = True,
     ):
         super().__init__()
@@ -87,6 +121,7 @@ def __init__(
         )
         self.block_length_seconds = block_length_seconds
         self.transactions_per_block = transactions_per_block
+        self.historic_start_datetime = historic_start_datetime
 
         self.output = output
         self.benchmark_configs = benchmark_configs
@@ -123,16 +158,26 @@ def configure_agents(
                 else benchmark_config.market_config.decimal_places
             )
 
-            # Create fuzzed price process
-            price_process = _create_price_process(
-                random_state=self.random_state,
-                num_steps=self.num_steps,
-                decimal_places=market_decimal_places,
-                initial_price=benchmark_config.initial_price,
-                price_sigma=benchmark_config.annualised_volatility
-                * np.sqrt(self.step_length_seconds / (365.25 * 24 * 60 * 60))
-                * benchmark_config.initial_price,
-            )
+            if (
+                self.historic_start_datetime is not None
+                and benchmark_config.historic_data_code is not None
+            ):
+                price_process = _historic_price_process(
+                    product_id=benchmark_config.historic_data_code,
+                    num_steps=self.num_steps,
+                    step_length_seconds=self.step_length_seconds,
+                    start=self.historic_start_datetime,
+                )
+            else:
+                price_process = _create_price_process(
+                    random_state=self.random_state,
+                    num_steps=self.num_steps,
+                    decimal_places=market_decimal_places,
+                    initial_price=benchmark_config.initial_price,
+                    price_sigma=benchmark_config.annualised_volatility
+                    * np.sqrt(self.step_length_seconds / (365.25 * 24 * 60 * 60))
+                    * benchmark_config.initial_price,
+                )
 
             self.agents.append(
                 ConfigurableMarketManager(