98 lines
2.2 KiB
Go
98 lines
2.2 KiB
Go
package backtest
|
|
|
|
import (
|
|
"fmt"
|
|
"path/filepath"
|
|
"strconv"
|
|
"time"
|
|
|
|
"go.uber.org/multierr"
|
|
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/data/tsv"
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
|
)
|
|
|
|
const DateFormat = "2006-01-02T15:04"
|
|
|
|
type symbolInterval struct {
|
|
Symbol string
|
|
Interval types.Interval
|
|
}
|
|
|
|
// KLineDumper dumps the received kline data into a folder for the backtest report to load the charts.
|
|
type KLineDumper struct {
|
|
OutputDirectory string
|
|
writers map[symbolInterval]*tsv.Writer
|
|
filenames map[symbolInterval]string
|
|
}
|
|
|
|
func NewKLineDumper(outputDirectory string) *KLineDumper {
|
|
return &KLineDumper{
|
|
OutputDirectory: outputDirectory,
|
|
writers: make(map[symbolInterval]*tsv.Writer),
|
|
filenames: make(map[symbolInterval]string),
|
|
}
|
|
}
|
|
|
|
func (d *KLineDumper) Filenames() map[symbolInterval]string {
|
|
return d.filenames
|
|
}
|
|
|
|
func (d *KLineDumper) formatFileName(symbol string, interval types.Interval) string {
|
|
return filepath.Join(d.OutputDirectory, fmt.Sprintf("%s-%s.tsv",
|
|
symbol,
|
|
interval))
|
|
}
|
|
|
|
var csvHeader = []string{"date", "startTime", "endTime", "interval", "open", "high", "low", "close", "volume"}
|
|
|
|
func (d *KLineDumper) encode(k types.KLine) []string {
|
|
return []string{
|
|
time.Time(k.StartTime).Format(time.ANSIC), // ANSIC date - for javascript to parse (this works with Date.parse(date_str)
|
|
strconv.FormatInt(k.StartTime.Unix(), 10),
|
|
strconv.FormatInt(k.EndTime.Unix(), 10),
|
|
k.Interval.String(),
|
|
k.Open.String(),
|
|
k.High.String(),
|
|
k.Low.String(),
|
|
k.Close.String(),
|
|
k.Volume.String(),
|
|
}
|
|
}
|
|
|
|
func (d *KLineDumper) Record(k types.KLine) error {
|
|
si := symbolInterval{Symbol: k.Symbol, Interval: k.Interval}
|
|
|
|
w, ok := d.writers[si]
|
|
if !ok {
|
|
filename := d.formatFileName(k.Symbol, k.Interval)
|
|
w2, err := tsv.NewWriterFile(filename)
|
|
if err != nil {
|
|
return err
|
|
}
|
|
w = w2
|
|
|
|
d.writers[si] = w2
|
|
d.filenames[si] = filename
|
|
|
|
if err2 := w2.Write(csvHeader); err2 != nil {
|
|
return err2
|
|
}
|
|
}
|
|
|
|
return w.Write(d.encode(k))
|
|
}
|
|
|
|
func (d *KLineDumper) Close() error {
|
|
var err error = nil
|
|
for _, w := range d.writers {
|
|
w.Flush()
|
|
err2 := w.Close()
|
|
if err2 != nil {
|
|
err = multierr.Append(err, err2)
|
|
}
|
|
}
|
|
|
|
return err
|
|
}
|