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improve/backtest: backtest with futures klines
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parent
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commit
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@ -30,6 +30,7 @@ package backtest
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import (
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import (
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"context"
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"context"
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"fmt"
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"fmt"
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exchange2 "github.com/c9s/bbgo/pkg/exchange"
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"strconv"
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"strconv"
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"sync"
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"sync"
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"time"
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"time"
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@ -381,7 +382,13 @@ func (e *Exchange) SubscribeMarketData(
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intervals = append(intervals, interval)
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intervals = append(intervals, interval)
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}
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}
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log.Infof("querying klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
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_, isFutures, _, _ := exchange2.GetSessionAttributes(e.publicExchange)
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if isFutures {
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log.Infof("querying futures klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
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} else {
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log.Infof("querying klines from database with exchange: %v symbols: %v and intervals: %v for back-testing", e.Name(), symbols, intervals)
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}
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if len(symbols) == 0 {
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if len(symbols) == 0 {
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log.Warnf("empty symbols, will not query kline data from the database")
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log.Warnf("empty symbols, will not query kline data from the database")
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@ -390,7 +397,7 @@ func (e *Exchange) SubscribeMarketData(
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return c, nil
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return c, nil
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}
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}
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klineC, errC := e.srv.QueryKLinesCh(startTime, endTime, e, symbols, intervals)
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klineC, errC := e.srv.QueryKLinesCh(startTime, endTime, e.publicExchange, symbols, intervals)
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go func() {
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go func() {
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if err := <-errC; err != nil {
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if err := <-errC; err != nil {
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log.WithError(err).Error("backtest data feed error")
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log.WithError(err).Error("backtest data feed error")
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@ -279,6 +279,7 @@ var BacktestCmd = &cobra.Command{
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exchangeFromConfig := userConfig.Sessions[name.String()]
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exchangeFromConfig := userConfig.Sessions[name.String()]
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if exchangeFromConfig != nil {
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if exchangeFromConfig != nil {
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session.UseHeikinAshi = exchangeFromConfig.UseHeikinAshi
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session.UseHeikinAshi = exchangeFromConfig.UseHeikinAshi
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session.Futures = exchangeFromConfig.Futures
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}
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}
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}
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}
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