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avoid recording trades in backtest by default

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introducing a RecordTrades option
This commit is contained in:
c9s 2021-12-06 01:42:53 +08:00
parent 85bb9f214e
commit 0472b7f21e
3 changed files with 32 additions and 23 deletions
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6
pkg/bbgo/config.go
View File

@ -98,8 +98,10 @@ type Backtest struct {
StartTime string `json:"startTime" yaml:"startTime"`
EndTime string `json:"endTime" yaml:"endTime"`
Account BacktestAccount `json:"account" yaml:"account"`
Symbols []string `json:"symbols" yaml:"symbols"`
// RecordTrades is an option, if set to true, back-testing should record the trades into database
RecordTrades bool `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
Account BacktestAccount `json:"account" yaml:"account"`
Symbols []string `json:"symbols" yaml:"symbols"`
}
func (t Backtest) ParseEndTime() (time.Time, error) {

19
pkg/bbgo/session.go
View File

@ -302,13 +302,18 @@ func (session *ExchangeSession) Init(ctx context.Context, environ *Environment)
session.UserDataStream.OnOrderUpdate(session.OrderExecutor.EmitOrderUpdate)
session.Account.BindStream(session.UserDataStream)
// insert trade into db right before everything
if environ.TradeService != nil {
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if err := environ.TradeService.Insert(trade); err != nil {
log.WithError(err).Errorf("trade insert error: %+v", trade)
}
})
// TODO: move this logic to Environment struct
// if back-test service is not set, meaning we are not back-testing
// we should insert trade into db right before everything
if environ.BacktestService == nil {
// if trade service is configured, we have the db configured
if environ.TradeService != nil {
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
if err := environ.TradeService.Insert(trade); err != nil {
log.WithError(err).Errorf("trade insert error: %+v", trade)
}
})
}
}
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {

30
pkg/cmd/backtest.go
View File

@ -221,17 +221,19 @@ var BacktestCmd = &cobra.Command{
}
}
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 !force {
if !confirmation("Are you sure to continue?") {
return nil
if userConfig.Backtest.RecordTrades {
log.Warn("!!! Trade recording is enabled for back-testing !!!")
log.Warn("!!! To run back-testing, you should use an isolated database for storing back-testing trades !!!")
log.Warn("!!! The trade record in the current database WILL ALL BE DELETED BEFORE THIS BACK-TESTING !!!")
if !force {
if !confirmation("Are you sure to continue?") {
return nil
}
}
}
if err := environ.TradeService.DeleteAll(); err != nil {
return err
if err := environ.TradeService.DeleteAll(); err != nil {
return err
}
}
backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
@ -315,18 +317,18 @@ var BacktestCmd = &cobra.Command{
InitialBalances types.BalanceMap `json:"initialBalances,omitempty"`
FinalBalances types.BalanceMap `json:"finalBalances,omitempty"`
}{
Symbol: symbol,
PnLReport: report,
Symbol: symbol,
PnLReport: report,
InitialBalances: initBalances,
FinalBalances: finalBalances,
FinalBalances: finalBalances,
}
jsonOutput, err := json.MarshalIndent(&result,"", " ")
jsonOutput, err := json.MarshalIndent(&result, "", " ")
if err != nil {
return err
}
if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol + ".json"), jsonOutput, 0644) ; err != nil {
if err := ioutil.WriteFile(filepath.Join(outputDirectory, symbol+".json"), jsonOutput, 0644); err != nil {
return err
}
}