implement kline fixture generator

pkg/backtest/fixture_test.go

@@ -0,0 +1,89 @@
+package backtest
+
+import (
+	"context"
+	"errors"
+	"math/rand"
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type KLineFixtureGenerator struct {
+	Symbol             string
+	Interval           types.Interval
+	StartTime, EndTime time.Time
+	StartPrice         fixedpoint.Value
+}
+
+func (g *KLineFixtureGenerator) Generate(ctx context.Context, c chan types.KLine) error {
+	defer close(c)
+
+	startTime := g.StartTime
+	price := g.StartPrice
+
+	if price.IsZero() {
+		return errors.New("startPrice can not be zero")
+	}
+
+	for startTime.Before(g.EndTime) {
+		open := price
+		high := price.Mul(fixedpoint.NewFromFloat(1.01))
+		low := price.Mul(fixedpoint.NewFromFloat(0.99))
+		amp := high.Sub(low)
+		cls := low.Add(amp.Mul(fixedpoint.NewFromFloat(rand.Float64())))
+
+		vol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0)
+		quoteVol := fixedpoint.NewFromFloat(rand.Float64() * 1000.0).Mul(price)
+
+		nextStartTime := startTime.Add(g.Interval.Duration())
+		k := types.KLine{
+			Exchange:    types.ExchangeBinance,
+			Symbol:      g.Symbol,
+			StartTime:   types.Time(startTime),
+			EndTime:     types.Time(nextStartTime.Add(-time.Millisecond)),
+			Interval:    g.Interval,
+			Open:        open,
+			Close:       cls,
+			High:        high,
+			Low:         low,
+			Volume:      vol,
+			QuoteVolume: quoteVol,
+			Closed:      true,
+		}
+		select {
+		case <-ctx.Done():
+			return ctx.Err()
+		case c <- k:
+		}
+		price = cls
+		startTime = nextStartTime
+	}
+
+	return nil
+}
+
+func TestKLineFixtureGenerator(t *testing.T) {
+	ctx := context.Background()
+	g := &KLineFixtureGenerator{
+		Symbol:     "BTCUSDT",
+		Interval:   types.Interval1m,
+		StartTime:  time.Date(2022, time.January, 1, 0, 0, 0, 0, time.Local),
+		EndTime:    time.Date(2022, time.January, 31, 0, 0, 0, 0, time.Local),
+		StartPrice: fixedpoint.NewFromFloat(18000.0),
+	}
+
+	c := make(chan types.KLine, 20)
+	go func() {
+		err := g.Generate(ctx, c)
+		assert.NoError(t, err)
+	}()
+	for k := range c {
+		// high must higher than low
+		assert.True(t, k.High.Compare(k.Low) > 0)
+	}
+}