Skip to content

Add instrument_ids and bar_types for BacktestDataConfig #2478

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 1 commit into from
Mar 29, 2025

Conversation

faysou
Copy link
Collaborator

@faysou faysou commented Mar 28, 2025

Pull Request

Refine BacktestDataConfig with instrument_ids and bar_types

  • Allow to reduce the number of required queries to backtest catalog data and sorting data several times in the backtest engine.
  • Added instrument_ids and bar_types to BacktestDataConfig
  • Made the feature work with rust sessions and pyarrow queries

Type of change

  • New feature (non-breaking change which adds functionality)

How has this change been tested?

Tested manually in databento_option_greeks.py for chunk_size = None and not None (I think chunk_size should be renamed to something better like batch_data_size else it's hard to know what it's doing except by looking at the code)

@cjdsellers cjdsellers changed the title Refine BacktestDataConfig with instrument_ids and bar_types Add instrument_ids and bar_types for BacktestDataConfig Mar 28, 2025
@faysou faysou force-pushed the backtestdataconfig branch 2 times, most recently from 478a9a0 to 178ef90 Compare March 29, 2025 11:08
@faysou faysou force-pushed the backtestdataconfig branch from 178ef90 to 07dbcaf Compare March 29, 2025 18:39
@cjdsellers cjdsellers merged commit 5de29c4 into develop Mar 29, 2025
12 checks passed
@cjdsellers cjdsellers deleted the backtestdataconfig branch March 29, 2025 21:23
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants