bbgo_origin/apps/backtest-report/components/TradingViewChart.tsx

import React, {useEffect, useRef, useState} from 'react';
import {tsvParse} from "d3-dsv";
import {Button} from '@mantine/core';

// https://github.com/tradingview/lightweight-charts/issues/543
// const createChart = dynamic(() => import('lightweight-charts'));
import {createChart, CrosshairMode} from 'lightweight-charts';
import {ReportSummary} from "../types";

const parseKline = () => {
  return (d : any) => {
    d.startTime = new Date(Number(d.startTime) * 1000);
    d.endTime = new Date(Number(d.endTime) * 1000);
    d.time = d.startTime.getTime() / 1000;

    for (const key in d) {
      // convert number fields
      if (Object.prototype.hasOwnProperty.call(d, key)) {
        switch (key) {
          case "open":
          case "high":
          case "low":
          case "close":
          case "volume":
            d[key] = +d[key];
            break
        }
      }
    }

    return d;
  };
};


const parseOrder = () => {
  return (d: any) => {
    for (const key in d) {
      // convert number fields
      if (Object.prototype.hasOwnProperty.call(d, key)) {
        switch (key) {
          case "order_id":
          case "price":
          case "quantity":
            d[key] = +d[key];
            break;
          case "update_time":
          case "creation_time":
          case "time":
            d[key] = new Date(d[key]);
            break;
        }
      }
    }
    return d;
  };
}

const parsePosition = () => {
  return (d: any) => {
    for (const key in d) {
      // convert number fields
      if (Object.prototype.hasOwnProperty.call(d, key)) {
        switch (key) {
          case "accumulated_profit":
          case "average_cost":
          case "quote":
          case "base":
            d[key] = +d[key];
            break
          case "time":
            d[key] = new Date(d[key]);
            break
        }
      }
    }
    return d;
  };
}

const fetchPositionHistory = (basePath: string, runID: string, filename: string) => {
  return fetch(
    `${basePath}/${runID}/${filename}`,
  )
    .then((response) => response.text())
    .then((data) => tsvParse(data, parsePosition()) as Array<PositionHistoryEntry>)
    .catch((e) => {
      console.error("failed to fetch orders", e)
    });
};

const fetchOrders = (basePath: string, runID: string) => {
  return fetch(
    `${basePath}/${runID}/orders.tsv`,
  )
    .then((response) => response.text())
    .then((data: string) => tsvParse(data, parseOrder()) as Array<Order>)
    .catch((e) => {
      console.error("failed to fetch orders", e)
    });
}

const parseInterval = (s: string) => {
  switch (s) {
    case "1m":
      return 60;
    case "5m":
      return 60 * 5;
    case "15m":
      return 60 * 15;
    case "30m":
      return 60 * 30;
    case "1h":
      return 60 * 60;
    case "4h":
      return 60 * 60 * 4;
    case "6h":
      return 60 * 60 * 6;
    case "12h":
      return 60 * 60 * 12;
    case "1d":
      return 60 * 60 * 24;
  }

  return 60;
};

interface Order {
  order_type: string;
  side: string;
  price: number;
  quantity: number;
  executed_quantity: number;
  status: string;
  update_time: Date;
  creation_time: Date;
  time?: Date;
}

interface Marker {
  time: number;
  position: string;
  color: string;
  shape: string;
  text: string;
}

const ordersToMarkets = (interval: string, orders: Array<Order> | void): Array<Marker> => {
  const markers: Array<Marker> = [];
  const intervalSecs = parseInterval(interval);

  if (!orders) {
    return markers;
  }

  // var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }];
  for (let i = 0; i < orders.length; i++) {
    let order = orders[i];
    let t = (order.update_time || order.time).getTime() / 1000.0;
    let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null;
    if (lastMarker) {
      let remainder = lastMarker.time % intervalSecs;
      let startTime = lastMarker.time - remainder;
      let endTime = (startTime + intervalSecs);
      // skip the marker in the same interval of the last marker
      if (t < endTime) {
        // continue
      }
    }

    switch (order.side) {
      case "BUY":
        markers.push({
          time: t,
          position: 'belowBar',
          color: '#239D10',
          shape: 'arrowUp',
          text: ''+order.price
          //text: 'B',
        });
        break;
      case "SELL":
        markers.push({
          time: t,
          position: 'aboveBar',
          color: '#e91e63',
          shape: 'arrowDown',
          text: ''+order.price
          //text: 'S',
        });
        break;
    }
  }
  return markers;
};

const removeDuplicatedKLines = (klines: Array<KLine>): Array<KLine> => {
  const newK = [];
  for (let i = 0; i < klines.length; i++) {
    const k = klines[i];

    if (i > 0 && k.time === klines[i - 1].time) {
      console.warn(`duplicated kline at index ${i}`, k)
      continue
    }

    newK.push(k);
  }
  return newK;
}

function fetchKLines(basePath: string, runID: string, symbol: string, interval: string) {
  return fetch(
    `${basePath}/${runID}/klines/${symbol}-${interval}.tsv`,
  )
    .then((response) => response.text())
    .then((data) => tsvParse(data, parseKline()))
    .catch((e) => {
      console.error("failed to fetch klines", e)
    });
}

interface KLine {
  time: Date;
  startTime: Date;
  endTime: Date;
  interval: string;
  open: number;
  high: number;
  low: number;
  close: number;
  volume: number;
}

const klinesToVolumeData = (klines: Array<KLine>) => {
  const volumes = [];

  for (let i = 0; i < klines.length; i++) {
    const kline = klines[i];
    volumes.push({
      time: (kline.startTime.getTime() / 1000),
      value: kline.volume,
    })
  }

  return volumes;
}


interface PositionHistoryEntry {
  time: Date;
  base: number;
  quote: number;
  average_cost: number;
}

const positionBaseHistoryToLineData = (interval: string, hs: Array<PositionHistoryEntry>) => {
  const bases = [];
  const intervalSeconds = parseInterval(interval);
  for (let i = 0; i < hs.length; i++) {
    const pos = hs[i];
    if (!pos.time) {
      console.warn('position history record missing time field', pos)
      continue
    }

    // ignore duplicated entry
    if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
      continue
    }

    let t = pos.time.getTime() / 1000;
    t = (t - t % intervalSeconds)

    if (i > 0 && (pos.base === hs[i - 1].base)) {
      continue;
    }

    bases.push({
      time: t,
      value: pos.base,
    });
  }
  return bases;
}


const positionAverageCostHistoryToLineData = (interval: string, hs: Array<PositionHistoryEntry>) => {
  const avgCosts = [];
  const intervalSeconds = parseInterval(interval);
  for (let i = 0; i < hs.length; i++) {
    const pos = hs[i];

    if (!pos.time) {
      console.warn('position history record missing time field', pos)
      continue
    }

    // ignore duplicated entry
    if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) {
      continue
    }


    let t = pos.time.getTime() / 1000;
    t = (t - t % intervalSeconds)

    if (i > 0 && (pos.average_cost === hs[i - 1].average_cost)) {
      continue;
    }

    if (pos.base === 0) {
      avgCosts.push({
        time: t,
        value: 0,
      });
    } else {
      avgCosts.push({
        time: t,
        value: pos.average_cost,
      });
    }


  }
  return avgCosts;
}

const createBaseChart = (chartContainerRef: React.RefObject<any>) => {
  return createChart(chartContainerRef.current, {
    width: chartContainerRef.current.clientWidth,
    height: chartContainerRef.current.clientHeight,
    timeScale: {
      timeVisible: true,
      borderColor: '#D1D4DC',
    },
    rightPriceScale: {
      borderColor: '#D1D4DC',
    },
    leftPriceScale: {
      visible: true,
      borderColor: 'rgba(197, 203, 206, 1)',
    },
    layout: {
      backgroundColor: '#ffffff',
      textColor: '#000',
    },
    crosshair: {
      mode: CrosshairMode.Normal,
    },
    grid: {
      horzLines: {
        color: '#F0F3FA',
      },
      vertLines: {
        color: '#F0F3FA',
      },
    },
  });
};


interface TradingViewChartProps {
  basePath: string;
  runID: string;
  reportSummary: ReportSummary;
  symbol: string;
}

const TradingViewChart = (props: TradingViewChartProps) => {
  const chartContainerRef = useRef<any>();
  const chart = useRef<any>();
  const resizeObserver = useRef<any>();
  const intervals = props.reportSummary.intervals || [];
  const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[0] : '1m');

  useEffect(() => {
    if (!chartContainerRef.current || chartContainerRef.current.children.length > 0) {
      return;
    }

    const chartData: any = {};
    const fetchers = [];
    const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders) => {
      const markers = ordersToMarkets(currentInterval, orders);
      chartData.orders = orders;
      chartData.markers = markers;
      return orders;
    });
    fetchers.push(ordersFetcher);

    if (props.reportSummary && props.reportSummary.manifests && props.reportSummary.manifests.length === 1) {
      const manifest = props.reportSummary?.manifests[0];
      if (manifest && manifest.type === "strategyProperty" && manifest.strategyProperty === "position") {
        const positionHistoryFetcher = fetchPositionHistory(props.basePath, props.runID, manifest.filename).then((data) => {
          chartData.positionHistory = data;
        });
        fetchers.push(positionHistoryFetcher);
      }
    }

    const kLinesFetcher = fetchKLines(props.basePath, props.runID, props.symbol, currentInterval).then((klines) => {
      chartData.klines = removeDuplicatedKLines(klines as Array<KLine>)
    });
    fetchers.push(kLinesFetcher);

    Promise.all(fetchers).then(() => {
      console.log("createChart")

      if (chart.current) {
        chart.current.remove();
      }

      chart.current = createBaseChart(chartContainerRef);

      const series = chart.current.addCandlestickSeries({
        upColor: 'rgb(38,166,154)',
        downColor: 'rgb(255,82,82)',
        wickUpColor: 'rgb(38,166,154)',
        wickDownColor: 'rgb(255,82,82)',
        borderVisible: false,
      });
      series.setData(chartData.klines);
      series.setMarkers(chartData.markers);

      const volumeData = klinesToVolumeData(chartData.klines);
      const volumeSeries = chart.current.addHistogramSeries({
        color: '#182233',
        lineWidth: 2,
        priceFormat: {
          type: 'volume',
        },
        overlay: true,
        scaleMargins: {
          top: 0.8,
          bottom: 0,
        },
      });
      volumeSeries.setData(volumeData);

      if (chartData.positionHistory) {
        const lineSeries = chart.current.addLineSeries();
        const costLine = positionAverageCostHistoryToLineData(currentInterval, chartData.positionHistory);
        lineSeries.setData(costLine);

        const baseLineSeries = chart.current.addLineSeries({
          priceScaleId: 'left',
          color: '#98338C',
        });
        const baseLine = positionBaseHistoryToLineData(currentInterval, chartData.positionHistory)
        baseLineSeries.setData(baseLine);
      }

      chart.current.timeScale().fitContent();
    });

    return () => {
      if (chart.current) {
        chart.current.remove();
      }
    };
  }, [props.runID, props.reportSummary, currentInterval])

  // see:
  // https://codesandbox.io/s/9inkb?file=/src/styles.css
  useEffect(() => {
    resizeObserver.current = new ResizeObserver(entries => {
      if (!chart.current) {
        return;
      }

      const {width, height} = entries[0].contentRect;
      chart.current.applyOptions({width, height});

      setTimeout(() => {
        chart.current.timeScale().fitContent();
      }, 0);
    });

    resizeObserver.current.observe(chartContainerRef.current);
    return () => resizeObserver.current.disconnect();
  }, []);

  return (
    <div>
      <span>
        {intervals.map((interval) => {
          return <Button key={interval} compact onClick={() => {
            setCurrentInterval(interval)
          }}>
            {interval}
          </Button>
        })}
      </span>
      <div ref={chartContainerRef} style={{'flex': 1, 'minHeight': 300}}>
      </div>
    </div>
  );
};

export default TradingViewChart;