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zelos-alpha / demeter

Better backtest toolkit for Uniswap v3 and Aave.
https://medium.com/zelos-research
MIT License
39 stars 9 forks source link

Can i some how work not with .minute.csv but smth like 30sec.csv, or smth? #10

Closed youbrain closed 7 months ago

youbrain commented 7 months ago

i can change code of demeter-fetch to download 30sec/row data, but dont know is there any way to work with such file with demeter

32ethers commented 7 months ago

Based on our experience in statistical work, if you seek precise results, it's preferable to replay each log individually. However, this requires re-implementing contract code in Python, which can significantly slow down the backtesting process.

Furthermore, it's not easy to modify the time intervals in Demeter. In subsequent versions, some markets may have hourly time intervals.

If you really want to create your own 30-second version, you need to pay attention to Uniswap/data.py, as it involves resampling data. However, I don't believe this will significantly improve accuracy.