https://github.com/ashwanthkumar/expiry-sim-data-generator

Backtesting framework for playing around with Nifty and Banknifty
https://github.com/ashwanthkumar/expiry-sim-data-generator

Last synced: about 6 hours ago
JSON representation

Backtesting framework for playing around with Nifty and Banknifty

• Host: GitHub
• URL: https://github.com/ashwanthkumar/expiry-sim-data-generator
• Owner: ashwanthkumar
• License: apache-2.0
• Created: 2022-02-24T11:59:06.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2022-02-28T11:58:43.000Z (over 2 years ago)
• Last Synced: 2024-06-21T18:54:32.571Z (5 months ago)
• Language: Go
• Size: 77.1 KB
• Stars: 1
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

        
# expiry-sim-data-generator

Code to convert data from "NF BNF options data (1min) backup" telegram group for generating dataset in a format that's suited for Expiry Replay Simulator that we're building.

Special thanks to the person running the group for providing access to those datasets.

## Usage

1. Please join the group and manually download the files that the admin shares after each expiry and put them all in a folder.

2. In the code we use `experiments/weekly` and `experiments/monthly` folders, but feel free to use anything of your choice.

3. If you do use a different path, you might want to update the path references in `main.go` file.

4. Then run `go run .` from the root of the repo. I'm assuming you've Go installed and have run `go mod download` already.

5. You should be able to find the required data under `data/` directory of the current folder. 

## Data Format

We generate 1 minute, 3 minute, 5 minute and 15 minute OHLC data from the source (1 min) dataset. This ensures we can instanly show / replay the data as needed on the UI as per the user's requirement.

The directory structure of the output is as follows:

```

+-data/

  |

  +-2021-12-23/ // date of the expiry

  | |

  | +-symbols.json // contains the list of symbol under this expiry

  | |

  | +-NIFTYWK15100PE_1min.json // contains the entire expiry data in 1 minute OHLC,OI,VOL format

  | |

  | +-NIFTYWK15100PE_3min.json // contains the entire expiry data in 3 minute OHLC,OI,VOL format

  | |

  | +-NIFTYWK15100PE_5min.json // contains the entire expiry data in 5 minute OHLC,OI,VOL format

  | |

  | +-... 

  |

  +-expiries.json // contains the list of expiries for each of the underlying (NIFTY, BANKNIFTY)

  |

  +-... 

```

## License

https://www.apache.org/licenses/LICENSE-2.0