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interval: finalize 1s support

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interval: finalize 1s support

interval: finalize 1s support
This commit is contained in:
austin362667 2022-10-04 15:15:07 +08:00 committed by Austin Liu
parent 905c1f25ee
commit 18acd668a7
7 changed files with 38 additions and 38 deletions
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2
pkg/backtest/exchange.go
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@ -381,7 +381,7 @@ func (e *Exchange) ConsumeKLine(k types.KLine, requiredInterval types.Interval)
requiredKline, ok := matching.klineCache[k.Interval] requiredKline, ok := matching.klineCache[k.Interval]
if ok { // pop out all the old if ok { // pop out all the old
if requiredKline.Interval.Seconds() < requiredInterval.Seconds() { if requiredKline.Interval != requiredInterval {
panic(fmt.Sprintf("expect required kline interval %s, got interval %s", requiredInterval.String(), requiredKline.Interval.String())) panic(fmt.Sprintf("expect required kline interval %s, got interval %s", requiredInterval.String(), requiredKline.Interval.String()))
} }
e.currentTime = requiredKline.EndTime.Time() e.currentTime = requiredKline.EndTime.Time()

8
pkg/cmd/backtest.go
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@ -603,10 +603,10 @@ func collectSubscriptionIntervals(environ *bbgo.Environment) (allKLineIntervals
for _, session := range environ.Sessions() { for _, session := range environ.Sessions() {
for _, sub := range session.Subscriptions { for _, sub := range session.Subscriptions {
if sub.Channel == types.KLineChannel { if sub.Channel == types.KLineChannel {
if sub.Options.Interval == types.Interval1s { if sub.Options.Interval.Seconds()%60 > 0 {
// if any subscription is 1s, then we will use 1s for back-testing // if any subscription interval is less than 60s, then we will use 1s for back-testing
requiredInterval = sub.Options.Interval requiredInterval = types.Interval1s
log.Warnf("found 1s kline subscription, modify default backtest interval to 1s") log.Warnf("found kline subscription interval less than 60s, modify default backtest interval to 1s")
} }
allKLineIntervals[sub.Options.Interval] = struct{}{} allKLineIntervals[sub.Options.Interval] = struct{}{}
} }

14
pkg/exchange/ftx/exchange.go
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@ -233,13 +233,13 @@ func (e *Exchange) SetModifyOrderAmountForFee(feeRate types.ExchangeFee) {
// resolution field in api // resolution field in api
// window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400 // window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
var supportedIntervals = map[types.Interval]int{ var supportedIntervals = map[types.Interval]int{
types.Interval1m: 1, types.Interval1m: 1 * 60,
types.Interval5m: 5, types.Interval5m: 5 * 60,
types.Interval15m: 15, types.Interval15m: 15 * 60,
types.Interval1h: 60, types.Interval1h: 60 * 60,
types.Interval4h: 60 * 4, types.Interval4h: 60 * 60 * 4,
types.Interval1d: 60 * 24, types.Interval1d: 60 * 60 * 24,
types.Interval3d: 60 * 24 * 3, types.Interval3d: 60 * 60 * 24 * 3,
} }
func (e *Exchange) SupportedInterval() map[types.Interval]int { func (e *Exchange) SupportedInterval() map[types.Interval]int {

8
pkg/exchange/kucoin/exchange.go
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@ -139,10 +139,10 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbols ...string) (map[str
// From the doc // From the doc
// Type of candlestick patterns: 1min, 3min, 5min, 15min, 30min, 1hour, 2hour, 4hour, 6hour, 8hour, 12hour, 1day, 1week // Type of candlestick patterns: 1min, 3min, 5min, 15min, 30min, 1hour, 2hour, 4hour, 6hour, 8hour, 12hour, 1day, 1week
var supportedIntervals = map[types.Interval]int{ var supportedIntervals = map[types.Interval]int{
types.Interval1m: 60, types.Interval1m: 1 * 60,
types.Interval5m: 60 * 5, types.Interval5m: 5 * 60,
types.Interval15m: 60 * 15, types.Interval15m: 15 * 60,
types.Interval30m: 60 * 30, types.Interval30m: 30 * 60,
types.Interval1h: 60 * 60, types.Interval1h: 60 * 60,
types.Interval2h: 60 * 60 * 2, types.Interval2h: 60 * 60 * 2,
types.Interval4h: 60 * 60 * 4, types.Interval4h: 60 * 60 * 4,

22
pkg/exchange/max/exchange.go
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@ -1009,17 +1009,17 @@ func (e *Exchange) DefaultFeeRates() types.ExchangeFee {
} }
var SupportedIntervals = map[types.Interval]int{ var SupportedIntervals = map[types.Interval]int{
types.Interval1m: 1, types.Interval1m: 1 * 60,
types.Interval5m: 5, types.Interval5m: 5 * 60,
types.Interval15m: 15, types.Interval15m: 15 * 60,
types.Interval30m: 30, types.Interval30m: 30 * 60,
types.Interval1h: 60, types.Interval1h: 60 * 60,
types.Interval2h: 60 * 2, types.Interval2h: 60 * 60 * 2,
types.Interval4h: 60 * 4, types.Interval4h: 60 * 60 * 4,
types.Interval6h: 60 * 6, types.Interval6h: 60 * 60 * 6,
types.Interval12h: 60 * 12, types.Interval12h: 60 * 60 * 12,
types.Interval1d: 60 * 24, types.Interval1d: 60 * 60 * 24,
types.Interval3d: 60 * 24 * 3, types.Interval3d: 60 * 60 * 24 * 3,
} }
func (e *Exchange) SupportedInterval() map[types.Interval]int { func (e *Exchange) SupportedInterval() map[types.Interval]int {

12
pkg/types/interval.go
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@ -12,9 +12,9 @@ type Interval string
func (i Interval) Minutes() int { func (i Interval) Minutes() int {
m, ok := SupportedIntervals[i] m, ok := SupportedIntervals[i]
if !ok { if !ok {
return int(ParseInterval(i) / 60.) return ParseInterval(i) / 60
} }
return m return m / 60
} }
func (i Interval) Seconds() int { func (i Interval) Seconds() int {
@ -87,13 +87,13 @@ func ParseInterval(input Interval) int {
case "m": case "m":
t *= 60 t *= 60
case "h": case "h":
t *= 60 t *= 60 * 60
case "d": case "d":
t *= 60 * 24 t *= 60 * 60 * 24
case "w": case "w":
t *= 60 * 24 * 7 t *= 60 * 60 * 24 * 7
case "mo": case "mo":
t *= 60 * 24 * 30 t *= 60 * 60 * 24 * 30
default: default:
panic("unknown interval input: " + input) panic("unknown interval input: " + input)
} }

10
pkg/types/interval_test.go
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@ -7,9 +7,9 @@ import (
) )
func TestParseInterval(t *testing.T) { func TestParseInterval(t *testing.T) {
assert.Equal(t, ParseIntervalSeconds("1s"), 1) assert.Equal(t, ParseInterval("1s"), 1)
assert.Equal(t, ParseInterval("3m"), 3) assert.Equal(t, ParseInterval("3m"), 3*60)
assert.Equal(t, ParseInterval("15h"), 15*60) assert.Equal(t, ParseInterval("15h"), 15*60*60)
assert.Equal(t, ParseInterval("72d"), 72*24*60) assert.Equal(t, ParseInterval("72d"), 72*24*60*60)
assert.Equal(t, ParseInterval("3Mo"), 3*30*24*60) assert.Equal(t, ParseInterval("3Mo"), 3*30*24*60*60)
} }