bbgo_origin/pkg/cmd/backtest.go

package cmd

import (
	"bufio"
	"context"
	"fmt"
	"os"
	"strings"
	"time"

	"github.com/c9s/bbgo/pkg/accounting/pnl"
	"github.com/c9s/bbgo/pkg/backtest"
	"github.com/c9s/bbgo/pkg/bbgo"
	"github.com/c9s/bbgo/pkg/cmd/cmdutil"
	"github.com/c9s/bbgo/pkg/service"
	"github.com/c9s/bbgo/pkg/types"
	"github.com/pkg/errors"
	log "github.com/sirupsen/logrus"
	"github.com/spf13/cobra"
)

func init() {
	BacktestCmd.Flags().String("exchange", "", "target exchange")
	BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
	BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
	BacktestCmd.Flags().String("sync-from", "", "sync backtest data from the given time, which will override the time range in the backtest config")
	BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
	BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
	BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
	RootCmd.AddCommand(BacktestCmd)
}

var BacktestCmd = &cobra.Command{
	Use:          "backtest",
	Short:        "backtest your strategies",
	SilenceUsage: true,
	RunE: func(cmd *cobra.Command, args []string) error {
		verboseCnt, err := cmd.Flags().GetCount("verbose")
		if err != nil {
			return err
		}

		configFile, err := cmd.Flags().GetString("config")
		if err != nil {
			return err
		}

		if len(configFile) == 0 {
			return errors.New("--config option is required")
		}

		wantBaseAssetBaseline, err := cmd.Flags().GetBool("base-asset-baseline")
		if err != nil {
			return err
		}

		wantSync, err := cmd.Flags().GetBool("sync")
		if err != nil {
			return err
		}

		syncOnly, err := cmd.Flags().GetBool("sync-only")
		if err != nil {
			return err
		}

		syncFromDateStr, err := cmd.Flags().GetString("sync-from")
		if err != nil {
			return err
		}

		exchangeNameStr, err := cmd.Flags().GetString("exchange")
		if err != nil {
			return err
		}

		exchangeName, err := types.ValidExchangeName(exchangeNameStr)
		if err != nil {
			return err
		}

		sourceExchange, err := cmdutil.NewExchange(exchangeName)
		if err != nil {
			return err
		}

		ctx, cancel := context.WithCancel(context.Background())
		defer cancel()

		userConfig, err := bbgo.Load(configFile, true)
		if err != nil {
			return err
		}

		if userConfig.Backtest == nil {
			return errors.New("backtest config is not defined")
		}

		now := time.Now()
		// set default start time to the past 6 months
		if len(userConfig.Backtest.StartTime) == 0 {
			userConfig.Backtest.StartTime = now.AddDate(0, -6, 0).Format("2006-01-02")
		}
		if len(userConfig.Backtest.EndTime) == 0 {
			userConfig.Backtest.EndTime = now.Format("2006-01-02")
		}

		if len(userConfig.CrossExchangeStrategies) > 0 {
			log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
		}

		startTime, err := userConfig.Backtest.ParseStartTime()
		if err != nil {
			return err
		}

		log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))

		environ := bbgo.NewEnvironment()
		if err := BootstrapBacktestEnvironment(ctx, environ, userConfig); err != nil {
			return err
		}

		if environ.DatabaseService == nil {
			return errors.New("database service is not enabled, please check your environment variables DB_DRIVER and DB_DSN")
		}

		backtestService := &service.BacktestService{DB: environ.DatabaseService.DB}
		environ.BacktestService = backtestService

		if wantSync {
			var syncFromTime = startTime

			// override the sync from time if the option is given
			if len(syncFromDateStr) > 0 {
				syncFromTime, err = time.Parse(types.DateFormat, syncFromDateStr)
				if err != nil {
					return err
				}

				if syncFromTime.After(startTime) {
					return fmt.Errorf("sync-from time %s can not be latter than the backtest start time %s", syncFromTime, startTime)
				}
			} else {
				// we need at least 1 month backward data for EMA and last prices
				syncFromTime = syncFromTime.AddDate(0, -1, 0)
				log.Infof("adjusted sync start time to %s for backward market data", syncFromTime)
			}

			log.Info("starting synchronization...")
			for _, symbol := range userConfig.Backtest.Symbols {
				if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime); err != nil {
					return err
				}
			}
			log.Info("synchronization done")

			var corruptCnt = 0
			for _, symbol := range userConfig.Backtest.Symbols {
				log.Infof("verifying backtesting data...")

				for interval := range types.SupportedIntervals {
					log.Infof("verifying %s %s kline data...", symbol, interval)

					klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
					var emptyKLine types.KLine
					var prevKLine types.KLine
					for k := range klineC {
						if verboseCnt > 1 {
							fmt.Print(".")
						}

						if prevKLine != emptyKLine {
							if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
								corruptCnt++
								log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
								log.Errorf("between %d and %d",
									prevKLine.StartTime.Unix(),
									k.StartTime.Unix())
							}
						}

						prevKLine = k
					}

					if verboseCnt > 1 {
						fmt.Println()
					}

					if err := <-errC; err != nil {
						return err
					}
				}
			}

			log.Infof("backtest verification completed")
			if corruptCnt > 0 {
				log.Errorf("found %d corruptions", corruptCnt)
			} else {
				log.Infof("found %d corruptions", corruptCnt)
			}

			if syncOnly {
				return nil
			}
		}

		log.Warn("!!! To run backtest, you should use an isolated database for storing backtest trades !!!")
		log.Warn("!!! The trade record in the current database WILL ALL BE DELETE !!!")
		if !confirmation("Are you sure to continue?") {
			return nil
		}

		if err := environ.TradeService.DeleteAll(); err != nil {
			return err
		}

		backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
		environ.SetStartTime(startTime)
		environ.AddExchange(exchangeName.String(), backtestExchange)

		if err := environ.Init(ctx); err != nil {
			return err
		}

		trader := bbgo.NewTrader(environ)

		if verboseCnt == 2 {
			log.SetLevel(log.DebugLevel)
		} else if verboseCnt > 0 {
			log.SetLevel(log.InfoLevel)
		} else {
			// default mode, disable strategy logging and order executor logging
			log.SetLevel(log.ErrorLevel)
			trader.DisableLogging()
		}

		if err := trader.Configure(userConfig); err != nil {
			return err
		}

		if err := trader.Run(ctx); err != nil {
			return err
		}

		<-backtestExchange.Done()

		log.Infof("shutting down trader...")
		shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
		trader.Graceful.Shutdown(shutdownCtx)
		cancel()

		// put the logger back to print the pnl
		log.SetLevel(log.InfoLevel)
		for _, session := range environ.Sessions() {
			calculator := &pnl.AverageCostCalculator{
				TradingFeeCurrency: backtestExchange.PlatformFeeCurrency(),
			}
			for symbol, trades := range session.Trades {
				market, ok := session.Market(symbol)
				if !ok {
					return fmt.Errorf("market not found: %s", symbol)
				}

				startPrice, ok := session.StartPrice(symbol)
				if !ok {
					return fmt.Errorf("start price not found: %s", symbol)
				}

				log.Infof("%s PROFIT AND LOSS REPORT", symbol)
				log.Infof("===============================================")

				lastPrice, ok := session.LastPrice(symbol)
				if !ok {
					return fmt.Errorf("last price not found: %s", symbol)
				}

				report := calculator.Calculate(symbol, trades.Trades, lastPrice)
				report.Print()

				initBalances := userConfig.Backtest.Account.Balances.BalanceMap()
				finalBalances := session.Account.Balances()

				log.Infof("INITIAL BALANCES:")
				initBalances.Print()

				log.Infof("FINAL BALANCES:")
				finalBalances.Print()

				if wantBaseAssetBaseline {
					initBaseAsset := inBaseAsset(initBalances, market, startPrice)
					finalBaseAsset := inBaseAsset(finalBalances, market, lastPrice)
					log.Infof("INITIAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
					log.Infof("FINAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)

					log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
					log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
				}
			}
		}

		return nil
	},
}

func confirmation(s string) bool {
	reader := bufio.NewReader(os.Stdin)
	for {
		fmt.Printf("%s [y/N]: ", s)

		response, err := reader.ReadString('\n')
		if err != nil {
			log.Fatal(err)
		}

		response = strings.ToLower(strings.TrimSpace(response))

		if response == "y" || response == "yes" {
			return true
		} else if response == "n" || response == "no" {
			return false
		} else {
			return false
		}
	}
}