bbgo_origin/pkg/backtest/matching.go

714 lines
18 KiB
Go
Raw Normal View History

2020-11-07 08:08:20 +00:00
package backtest
import (
2020-11-09 08:34:35 +00:00
"fmt"
"sync"
"sync/atomic"
2020-11-07 08:08:20 +00:00
"time"
"github.com/pkg/errors"
"github.com/sirupsen/logrus"
2020-11-07 08:08:20 +00:00
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
2022-06-09 03:46:06 +00:00
"github.com/c9s/bbgo/pkg/util"
2020-11-07 08:08:20 +00:00
)
var orderID uint64 = 1
var tradeID uint64 = 1
2020-11-07 08:08:20 +00:00
func incOrderID() uint64 {
return atomic.AddUint64(&orderID, 1)
2020-11-07 08:08:20 +00:00
}
func incTradeID() uint64 {
return atomic.AddUint64(&tradeID, 1)
}
2022-06-09 03:46:06 +00:00
var klineMatchingLogger *logrus.Entry = nil
2022-06-11 19:55:02 +00:00
// FeeToken is used to simulate the exchange platform fee token
// This is to ease the back-testing environment for closing positions.
const FeeToken = "FEE"
2022-06-11 19:55:02 +00:00
var useFeeToken = true
2022-06-09 03:46:06 +00:00
func init() {
logger := logrus.New()
if v, ok := util.GetEnvVarBool("DEBUG_MATCHING"); ok && v {
logger.SetLevel(logrus.DebugLevel)
} else {
logger.SetLevel(logrus.ErrorLevel)
}
klineMatchingLogger = logger.WithField("backtest", "klineEngine")
2022-06-11 19:55:02 +00:00
if v, ok := util.GetEnvVarBool("BACKTEST_USE_FEE_TOKEN"); ok {
useFeeToken = v
}
2022-06-09 03:46:06 +00:00
}
// SimplePriceMatching implements a simple kline data driven matching engine for backtest
//go:generate callbackgen -type SimplePriceMatching
type SimplePriceMatching struct {
Symbol string
Market types.Market
2020-11-07 08:08:20 +00:00
mu sync.Mutex
bidOrders []types.Order
askOrders []types.Order
closedOrders map[uint64]types.Order
2020-11-07 08:08:20 +00:00
LastPrice fixedpoint.Value
2021-03-15 18:13:52 +00:00
LastKLine types.KLine
CurrentTime time.Time
Account *types.Account
tradeUpdateCallbacks []func(trade types.Trade)
orderUpdateCallbacks []func(order types.Order)
2020-11-10 06:18:04 +00:00
balanceUpdateCallbacks []func(balances types.BalanceMap)
2020-11-07 08:08:20 +00:00
}
func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
found := false
2020-11-07 08:08:20 +00:00
switch o.Side {
2020-11-07 08:08:20 +00:00
case types.SideTypeBuy:
m.mu.Lock()
var orders []types.Order
for _, order := range m.bidOrders {
if o.OrderID == order.OrderID {
found = true
continue
}
orders = append(orders, order)
}
m.bidOrders = orders
m.mu.Unlock()
2020-11-07 08:08:20 +00:00
case types.SideTypeSell:
m.mu.Lock()
var orders []types.Order
2020-11-10 06:18:04 +00:00
for _, order := range m.askOrders {
if o.OrderID == order.OrderID {
found = true
continue
}
orders = append(orders, order)
}
2020-11-10 06:18:04 +00:00
m.askOrders = orders
m.mu.Unlock()
2020-11-07 08:08:20 +00:00
}
if !found {
2020-11-09 08:34:35 +00:00
return o, fmt.Errorf("cancel order failed, order %d not found: %+v", o.OrderID, o)
}
switch o.Side {
case types.SideTypeBuy:
if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, o.Price.Mul(o.Quantity)); err != nil {
return o, err
}
case types.SideTypeSell:
if err := m.Account.UnlockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
return o, err
}
2020-11-07 08:08:20 +00:00
}
o.Status = types.OrderStatusCanceled
m.EmitOrderUpdate(o)
2020-11-10 06:18:04 +00:00
m.EmitBalanceUpdate(m.Account.Balances())
return o, nil
2020-11-07 08:08:20 +00:00
}
// PlaceOrder returns the created order object, executed trade (if any) and error
func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *types.Trade, error) {
if o.Type == types.OrderTypeMarket {
if m.LastPrice.IsZero() {
panic("unexpected error: for market order, the last price can not be zero")
}
}
isTaker := o.Type == types.OrderTypeMarket || isLimitTakerOrder(o, m.LastPrice)
// price for checking account balance, default price
price := o.Price
switch o.Type {
case types.OrderTypeMarket:
price = m.LastPrice
case types.OrderTypeStopMarket:
// the actual price might be different.
price = o.StopPrice
case types.OrderTypeLimit, types.OrderTypeStopLimit, types.OrderTypeLimitMaker:
price = o.Price
}
if o.Quantity.Compare(m.Market.MinQuantity) < 0 {
return nil, nil, fmt.Errorf("order quantity %s is less than minQuantity %s, order: %+v", o.Quantity.String(), m.Market.MinQuantity.String(), o)
2022-01-29 09:44:42 +00:00
}
quoteQuantity := o.Quantity.Mul(price)
if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
2022-01-29 09:44:42 +00:00
}
switch o.Side {
case types.SideTypeBuy:
if err := m.Account.LockBalance(m.Market.QuoteCurrency, quoteQuantity); err != nil {
return nil, nil, err
}
case types.SideTypeSell:
if err := m.Account.LockBalance(m.Market.BaseCurrency, o.Quantity); err != nil {
return nil, nil, err
}
}
2020-11-10 06:18:04 +00:00
m.EmitBalanceUpdate(m.Account.Balances())
2020-11-10 06:18:04 +00:00
// start from one
orderID := incOrderID()
order := m.newOrder(o, orderID)
if isTaker {
if order.Type == types.OrderTypeMarket {
order.Price = m.LastPrice
2022-08-18 07:09:46 +00:00
} else if order.Type == types.OrderTypeLimit {
order.AveragePrice = m.LastPrice
}
// emit the order update for Status:New
m.EmitOrderUpdate(order)
// copy the order object to avoid side effect (for different callbacks)
var order2 = order
// emit trade before we publish order
trade := m.newTradeFromOrder(&order2, false, m.LastPrice)
m.executeTrade(trade)
2022-08-18 07:09:46 +00:00
// unlock the rest balances for limit taker
if order.Type == types.OrderTypeLimit {
if order.AveragePrice.IsZero() {
return nil, nil, fmt.Errorf("the average price of the given limit taker order can not be zero")
}
switch o.Side {
case types.SideTypeBuy:
// limit buy taker, the order price is higher than the current best ask price
// the executed price is lower than the given price, so we will use less quote currency to buy the base asset.
amount := order.Price.Sub(order.AveragePrice).Mul(order.Quantity)
if amount.Sign() > 0 {
if err := m.Account.UnlockBalance(m.Market.QuoteCurrency, amount); err != nil {
return nil, nil, err
}
m.EmitBalanceUpdate(m.Account.Balances())
2022-08-18 07:09:46 +00:00
}
case types.SideTypeSell:
// limit sell taker, the order price is lower than the current best bid price
// the executed price is higher than the given price, so we will get more quote currency back
amount := order.AveragePrice.Sub(order.Price).Mul(order.Quantity)
if amount.Sign() > 0 {
m.Account.AddBalance(m.Market.QuoteCurrency, amount)
m.EmitBalanceUpdate(m.Account.Balances())
2022-08-18 07:09:46 +00:00
}
}
}
// update the order status
order2.Status = types.OrderStatusFilled
order2.ExecutedQuantity = order2.Quantity
order2.IsWorking = false
m.EmitOrderUpdate(order2)
// let the exchange emit the "FILLED" order update (we need the closed order)
// m.EmitOrderUpdate(order2)
return &order2, &trade, nil
}
// For limit maker orders (open status)
switch o.Side {
case types.SideTypeBuy:
m.mu.Lock()
m.bidOrders = append(m.bidOrders, order)
m.mu.Unlock()
case types.SideTypeSell:
m.mu.Lock()
m.askOrders = append(m.askOrders, order)
m.mu.Unlock()
}
m.EmitOrderUpdate(order) // emit order New status
return &order, nil, nil
}
func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
var err error
// execute trade, update account balances
if trade.IsBuyer {
2022-06-11 19:45:47 +00:00
err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.QuoteQuantity)
// here the fee currency is the base currency
2022-06-11 19:55:02 +00:00
q := trade.Quantity
if trade.FeeCurrency == m.Market.BaseCurrency {
q = q.Sub(trade.Fee)
}
m.Account.AddBalance(m.Market.BaseCurrency, q)
} else {
err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
2022-06-11 19:45:47 +00:00
// here the fee currency is the quote currency
2022-06-11 19:55:02 +00:00
qq := trade.QuoteQuantity
if trade.FeeCurrency == m.Market.QuoteCurrency {
qq = qq.Sub(trade.Fee)
}
m.Account.AddBalance(m.Market.QuoteCurrency, qq)
}
if err != nil {
panic(errors.Wrapf(err, "executeTrade exception, wanted to use more than the locked balance"))
}
m.EmitTradeUpdate(trade)
2020-11-10 06:18:04 +00:00
m.EmitBalanceUpdate(m.Account.Balances())
}
func (m *SimplePriceMatching) getFeeRate(isMaker bool) (feeRate fixedpoint.Value) {
// BINANCE uses 0.1% for both maker and taker
// MAX uses 0.050% for maker and 0.15% for taker
2021-12-05 04:10:45 +00:00
if isMaker {
feeRate = m.Account.MakerFeeRate
2021-12-05 04:10:45 +00:00
} else {
feeRate = m.Account.TakerFeeRate
}
return feeRate
}
func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool, price fixedpoint.Value) types.Trade {
// BINANCE uses 0.1% for both maker and taker
// MAX uses 0.050% for maker and 0.15% for taker
var feeRate = m.getFeeRate(isMaker)
2022-06-11 19:45:47 +00:00
var quoteQuantity = order.Quantity.Mul(price)
var fee fixedpoint.Value
var feeCurrency string
2022-06-11 19:55:02 +00:00
if useFeeToken {
feeCurrency = FeeToken
fee = quoteQuantity.Mul(feeRate)
} else {
fee, feeCurrency = calculateNativeOrderFee(order, m.Market, feeRate)
}
// update order time
order.UpdateTime = types.Time(m.CurrentTime)
var id = incTradeID()
return types.Trade{
2021-12-23 05:15:27 +00:00
ID: id,
OrderID: order.OrderID,
Exchange: types.ExchangeBacktest,
Price: price,
Quantity: order.Quantity,
2022-06-11 19:45:47 +00:00
QuoteQuantity: quoteQuantity,
Symbol: order.Symbol,
Side: order.Side,
IsBuyer: order.Side == types.SideTypeBuy,
IsMaker: isMaker,
2021-05-19 17:32:26 +00:00
Time: types.Time(m.CurrentTime),
Fee: fee,
FeeCurrency: feeCurrency,
}
}
// buyToPrice means price go up and the limit sell should be triggered
func (m *SimplePriceMatching) buyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline buy to price %s", price.String())
var bidOrders []types.Order
for _, o := range m.bidOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// the price is still lower than the stop price, we will put the order back to the list
if price.Compare(o.StopPrice) < 0 {
// not triggering it, put it back
bidOrders = append(bidOrders, o)
break
}
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = price
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
case types.OrderTypeStopLimit:
// the price is still lower than the stop price, we will put the order back to the list
if price.Compare(o.StopPrice) < 0 {
bidOrders = append(bidOrders, o)
break
}
2020-11-08 19:17:02 +00:00
// convert this order to limit order
// we use value object here, so it's a copy
o.Type = types.OrderTypeLimit
// is it a taker order?
// higher than the current price, then it's a taker order
if o.Price.Compare(price) >= 0 {
// limit buy taker order, move it to the closed order
// we assume that we have no price slippage here, so the latest price will be the executed price
o.AveragePrice = price
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
// keep it as a maker order
bidOrders = append(bidOrders, o)
}
default:
bidOrders = append(bidOrders, o)
}
}
m.bidOrders = bidOrders
var askOrders []types.Order
for _, o := range m.askOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// should we trigger the order
if price.Compare(o.StopPrice) < 0 {
2020-11-08 19:17:02 +00:00
// not triggering it, put it back
askOrders = append(askOrders, o)
break
}
2020-11-08 19:17:02 +00:00
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = price
2020-11-08 19:17:02 +00:00
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
2020-11-08 19:17:02 +00:00
case types.OrderTypeStopLimit:
// should we trigger the order?
if price.Compare(o.StopPrice) < 0 {
askOrders = append(askOrders, o)
2020-11-08 19:17:02 +00:00
break
}
2020-11-08 19:17:02 +00:00
o.Type = types.OrderTypeLimit
2020-11-08 19:17:02 +00:00
// is it a taker order?
// higher than the current price, then it's a taker order
if o.Price.Compare(price) <= 0 {
// limit sell order as taker, move it to the closed order
// we assume that we have no price slippage here, so the latest price will be the executed price
// TODO: simulate slippage here
o.AveragePrice = price
2020-11-08 19:17:02 +00:00
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
2020-11-08 19:17:02 +00:00
// maker order
askOrders = append(askOrders, o)
}
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
if price.Compare(o.Price) >= 0 {
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
askOrders = append(askOrders, o)
}
default:
askOrders = append(askOrders, o)
}
}
m.askOrders = askOrders
m.LastPrice = price
for i := range closedOrders {
o := closedOrders[i]
executedPrice := o.Price
if !o.AveragePrice.IsZero() {
executedPrice = o.AveragePrice
}
trade := m.newTradeFromOrder(&o, !isTakerOrder(o), executedPrice)
m.executeTrade(trade)
closedOrders[i] = o
trades = append(trades, trade)
m.EmitOrderUpdate(o)
m.closedOrders[o.OrderID] = o
}
return closedOrders, trades
}
// sellToPrice simulates the price trend in down direction.
// When price goes down, buy orders should be executed, and the stop orders should be triggered.
func (m *SimplePriceMatching) sellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
klineMatchingLogger.Debugf("kline sell to price %s", price.String())
// in this section we handle --- the price goes lower, and we trigger the stop sell
var askOrders []types.Order
for _, o := range m.askOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// should we trigger the order
if price.Compare(o.StopPrice) > 0 {
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = price
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
case types.OrderTypeStopLimit:
// if the price is lower than the stop price
// we should trigger the stop sell order
if price.Compare(o.StopPrice) > 0 {
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeLimit
// handle TAKER SELL
// if the order price is lower than the current price
// it's a taker order
if o.Price.Compare(price) <= 0 {
o.AveragePrice = price
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
askOrders = append(askOrders, o)
}
default:
askOrders = append(askOrders, o)
}
}
m.askOrders = askOrders
var bidOrders []types.Order
for _, o := range m.bidOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// price goes down and if the stop price is still lower than the current price
// or the stop price is not touched
// then we should skip this order
if price.Compare(o.StopPrice) > 0 {
bidOrders = append(bidOrders, o)
break
}
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = price
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
case types.OrderTypeStopLimit:
// price goes down and if the stop price is still lower than the current price
// or the stop price is not touched
// then we should skip this order
if price.Compare(o.StopPrice) > 0 {
bidOrders = append(bidOrders, o)
break
}
o.Type = types.OrderTypeLimit
// handle TAKER order
if o.Price.Compare(price) >= 0 {
o.AveragePrice = price
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
bidOrders = append(bidOrders, o)
}
case types.OrderTypeLimit, types.OrderTypeLimitMaker:
if price.Compare(o.Price) <= 0 {
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
} else {
bidOrders = append(bidOrders, o)
}
default:
bidOrders = append(bidOrders, o)
}
}
m.bidOrders = bidOrders
m.LastPrice = price
for i := range closedOrders {
o := closedOrders[i]
executedPrice := o.Price
if !o.AveragePrice.IsZero() {
executedPrice = o.AveragePrice
}
trade := m.newTradeFromOrder(&o, !isTakerOrder(o), executedPrice)
m.executeTrade(trade)
closedOrders[i] = o
trades = append(trades, trade)
m.EmitOrderUpdate(o)
m.closedOrders[o.OrderID] = o
}
return closedOrders, trades
}
func (m *SimplePriceMatching) getOrder(orderID uint64) (types.Order, bool) {
if o, ok := m.closedOrders[orderID]; ok {
return o, true
}
for _, o := range m.bidOrders {
if o.OrderID == orderID {
return o, true
}
}
for _, o := range m.askOrders {
if o.OrderID == orderID {
return o, true
}
}
return types.Order{}, false
}
2020-11-10 06:18:04 +00:00
func (m *SimplePriceMatching) processKLine(kline types.KLine) {
m.CurrentTime = kline.EndTime.Time()
if m.LastPrice.IsZero() {
m.LastPrice = kline.Open
} else {
if m.LastPrice.Compare(kline.Open) > 0 {
m.sellToPrice(kline.Open)
} else {
m.buyToPrice(kline.Open)
}
}
2020-12-04 02:18:51 +00:00
switch kline.Direction() {
case types.DirectionDown:
if kline.High.Compare(kline.Open) >= 0 {
m.buyToPrice(kline.High)
}
// if low is lower than close, sell to low first, and then buy up to close
if kline.Low.Compare(kline.Close) < 0 {
m.sellToPrice(kline.Low)
m.buyToPrice(kline.Close)
2020-11-10 11:06:20 +00:00
} else {
m.sellToPrice(kline.Close)
}
2020-11-10 06:18:04 +00:00
2020-12-04 02:18:51 +00:00
case types.DirectionUp:
if kline.Low.Compare(kline.Open) <= 0 {
m.sellToPrice(kline.Low)
}
if kline.High.Compare(kline.Close) > 0 {
m.buyToPrice(kline.High)
m.sellToPrice(kline.Close)
2020-11-10 11:06:20 +00:00
} else {
m.buyToPrice(kline.Close)
}
2022-01-29 09:44:42 +00:00
default: // no trade up or down
if m.LastPrice.IsZero() {
m.buyToPrice(kline.Close)
}
2020-11-07 08:08:20 +00:00
}
m.LastKLine = kline
2020-11-07 08:08:20 +00:00
}
func (m *SimplePriceMatching) newOrder(o types.SubmitOrder, orderID uint64) types.Order {
2020-11-07 08:08:20 +00:00
return types.Order{
OrderID: orderID,
2020-11-07 08:08:20 +00:00
SubmitOrder: o,
Exchange: types.ExchangeBacktest,
2020-11-07 08:08:20 +00:00
Status: types.OrderStatusNew,
ExecutedQuantity: fixedpoint.Zero,
2020-11-10 06:18:04 +00:00
IsWorking: true,
2021-05-19 17:32:26 +00:00
CreationTime: types.Time(m.CurrentTime),
UpdateTime: types.Time(m.CurrentTime),
2020-11-07 08:08:20 +00:00
}
}
func calculateNativeOrderFee(order *types.Order, market types.Market, feeRate fixedpoint.Value) (fee fixedpoint.Value, feeCurrency string) {
switch order.Side {
case types.SideTypeBuy:
fee = order.Quantity.Mul(feeRate)
feeCurrency = market.BaseCurrency
case types.SideTypeSell:
quoteQuantity := order.Quantity.Mul(order.Price)
fee = quoteQuantity.Mul(feeRate)
feeCurrency = market.QuoteCurrency
}
return fee, feeCurrency
}
func isTakerOrder(o types.Order) bool {
if o.AveragePrice.IsZero() {
return false
}
switch o.Side {
case types.SideTypeBuy:
return o.AveragePrice.Compare(o.Price) < 0
case types.SideTypeSell:
return o.AveragePrice.Compare(o.Price) > 0
}
return false
}
func isLimitTakerOrder(o types.SubmitOrder, currentPrice fixedpoint.Value) bool {
if currentPrice.IsZero() {
return false
}
return o.Type == types.OrderTypeLimit && ((o.Side == types.SideTypeBuy && o.Price.Compare(currentPrice) >= 0) ||
(o.Side == types.SideTypeSell && o.Price.Compare(currentPrice) <= 0))
}