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https://github.com/c9s/bbgo.git
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Merge pull request #682 from c9s/fix/backtest-order-test
fix: fix duplicated filled order update callbacks in backtest
This commit is contained in:
commit
023eb37f09
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@ -146,6 +146,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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order := m.newOrder(o, orderID)
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if o.Type == types.OrderTypeMarket {
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// emit the order update for Status:New
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m.EmitOrderUpdate(order)
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// copy the order object to avoid side effect (for different callbacks)
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@ -160,12 +161,13 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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order2.ExecutedQuantity = order2.Quantity
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order2.Price = price
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order2.IsWorking = false
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m.EmitOrderUpdate(order2)
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// let the exchange emit the "FILLED" order update (we need the closed order)
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// m.EmitOrderUpdate(order2)
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return &order2, &trade, nil
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}
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// for limit maker orders
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// For limit maker orders (open status)
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// TODO: handle limit taker order
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switch o.Side {
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@ -180,8 +182,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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m.mu.Unlock()
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}
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m.EmitOrderUpdate(order)
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m.EmitOrderUpdate(order) // emit order New status
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return &order, nil, nil
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}
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@ -21,6 +21,72 @@ func newLimitOrder(symbol string, side types.SideType, price, quantity float64)
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}
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}
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func TestSimplePriceMatching_orderUpdate(t *testing.T) {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
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account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
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})
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market := types.Market{
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Symbol: "BTCUSDT",
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PricePrecision: 8,
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VolumePrecision: 8,
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QuoteCurrency: "USDT",
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BaseCurrency: "BTC",
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MinNotional: fixedpoint.MustNewFromString("0.001"),
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MinAmount: fixedpoint.MustNewFromString("10.0"),
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MinQuantity: fixedpoint.MustNewFromString("0.001"),
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}
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t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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CurrentTime: t1,
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}
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orderUpdateCnt := 0
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orderUpdateNewStatusCnt := 0
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orderUpdateFilledStatusCnt := 0
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var lastOrder types.Order
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engine.OnOrderUpdate(func(order types.Order) {
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lastOrder = order
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orderUpdateCnt++
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switch order.Status {
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case types.OrderStatusNew:
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orderUpdateNewStatusCnt++
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case types.OrderStatusFilled:
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orderUpdateFilledStatusCnt++
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}
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})
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 24000.0, 0.1))
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assert.NoError(t, err)
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assert.Equal(t, 1, orderUpdateCnt) // should got new status
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assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
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assert.Equal(t, 0, orderUpdateFilledStatusCnt) // should got new status
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assert.Equal(t, types.OrderStatusNew, lastOrder.Status)
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assert.Equal(t, fixedpoint.NewFromFloat(0.0), lastOrder.ExecutedQuantity)
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t2 := t1.Add(time.Minute)
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// should match 25000, 24000
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k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
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engine.processKLine(k)
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assert.Equal(t, 2, orderUpdateCnt) // should got new and filled
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assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
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assert.Equal(t, 1, orderUpdateFilledStatusCnt) // should got new status
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assert.Equal(t, types.OrderStatusFilled, lastOrder.Status)
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assert.Equal(t, "0.1", lastOrder.ExecutedQuantity.String())
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assert.Equal(t, lastOrder.Quantity.String(), lastOrder.ExecutedQuantity.String())
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}
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func TestSimplePriceMatching_processKLine(t *testing.T) {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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@ -102,9 +102,9 @@ func (e *ExchangeOrderExecutor) SubmitOrders(ctx context.Context, orders ...type
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// pass submit order as an interface object.
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channel, ok := e.RouteObject(&order)
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if ok {
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e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity, order)
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e.NotifyTo(channel, ":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order)
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} else {
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e.Notify(":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity, order)
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e.Notify(":memo: Submitting %s %s %s order with quantity: %f", order.Symbol, order.Type, order.Side, order.Quantity.Float64(), order)
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}
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log.Infof("submitting order: %s", order.String())
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@ -5,6 +5,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/autoborrow"
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_ "github.com/c9s/bbgo/pkg/strategy/bollgrid"
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_ "github.com/c9s/bbgo/pkg/strategy/bollmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/dca"
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_ "github.com/c9s/bbgo/pkg/strategy/emastop"
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_ "github.com/c9s/bbgo/pkg/strategy/etf"
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_ "github.com/c9s/bbgo/pkg/strategy/ewoDgtrd"
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248
pkg/strategy/dca/strategy.go
Normal file
248
pkg/strategy/dca/strategy.go
Normal file
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@ -0,0 +1,248 @@
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package dca
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import (
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"context"
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"fmt"
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"time"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "dca"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type BudgetPeriod string
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const (
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BudgetPeriodDay BudgetPeriod = "day"
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BudgetPeriodWeek BudgetPeriod = "week"
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BudgetPeriodMonth BudgetPeriod = "month"
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)
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func (b BudgetPeriod) Duration() time.Duration {
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var period time.Duration
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switch b {
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case BudgetPeriodDay:
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period = 24 * time.Hour
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case BudgetPeriodWeek:
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period = 24 * time.Hour * 7
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case BudgetPeriodMonth:
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period = 24 * time.Hour * 30
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}
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return period
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}
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// Strategy is the Dollar-Cost-Average strategy
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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// BudgetPeriod is how long your budget quota will be reset.
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// day, week, month
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BudgetPeriod BudgetPeriod `json:"budgetPeriod"`
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// Budget is the amount you invest per budget period
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Budget fixedpoint.Value `json:"budget"`
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// InvestmentInterval is the interval of each investment
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InvestmentInterval types.Interval `json:"investmentInterval"`
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budgetPerInvestment fixedpoint.Value
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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BudgetQuota fixedpoint.Value `persistence:"budget_quota"`
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BudgetPeriodStartTime time.Time `persistence:"budget_period_start_time"`
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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bbgo.StrategyController
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.InvestmentInterval})
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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// s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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return err
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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// check if position can be close or not
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func canClosePosition(position *types.Position, signal fixedpoint.Value, price fixedpoint.Value) bool {
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return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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instanceID := s.InstanceID()
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if s.BudgetQuota.IsZero() {
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s.BudgetQuota = s.Budget
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}
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numOfInvestmentPerPeriod := fixedpoint.NewFromFloat(float64(s.BudgetPeriod.Duration()) / float64(s.InvestmentInterval.Duration()))
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s.budgetPerInvestment = s.Budget.Div(numOfInvestmentPerPeriod)
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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s.Notifiability.Notify(trade)
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.OnTrade(func(trade types.Trade, profit fixedpoint.Value, netProfit fixedpoint.Value) {
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s.BudgetQuota = s.BudgetQuota.Sub(trade.QuoteQuantity)
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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session.UserDataStream.OnStart(func() {})
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session.MarketDataStream.OnKLine(func(kline types.KLine) {})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.InvestmentInterval {
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return
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}
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if s.BudgetPeriodStartTime == (time.Time{}) {
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s.BudgetPeriodStartTime = kline.StartTime.Time().Truncate(time.Minute)
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}
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if kline.EndTime.Time().Sub(s.BudgetPeriodStartTime) >= s.BudgetPeriod.Duration() {
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// reset budget quota
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s.BudgetQuota = s.Budget
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s.BudgetPeriodStartTime = kline.StartTime.Time()
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}
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// check if we have quota
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if s.BudgetQuota.Compare(s.budgetPerInvestment) <= 0 {
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return
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}
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price := kline.Close
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quantity := s.budgetPerInvestment.Div(price)
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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})
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})
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return nil
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}
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