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backtest: fix order update_time update in the matching engine
fixes: #631
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parent
f06ec76618
commit
18fc68f6c6
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@ -160,7 +160,7 @@ const ordersToMarkets = (interval, orders) => {
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let endTime = (startTime + intervalSecs);
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// skip the marker in the same interval of the last marker
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if (t < endTime) {
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continue
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// continue
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}
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}
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@ -7,6 +7,7 @@ import (
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"time"
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"github.com/pkg/errors"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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@ -23,15 +24,18 @@ func incTradeID() uint64 {
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return atomic.AddUint64(&tradeID, 1)
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}
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var klineMatchingLogger = logrus.WithField("backtest", "klineEngine")
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// SimplePriceMatching implements a simple kline data driven matching engine for backtest
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//go:generate callbackgen -type SimplePriceMatching
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type SimplePriceMatching struct {
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Symbol string
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Market types.Market
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mu sync.Mutex
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bidOrders []types.Order
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askOrders []types.Order
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mu sync.Mutex
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bidOrders []types.Order
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askOrders []types.Order
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closedOrders []types.Order
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LastPrice fixedpoint.Value
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LastKLine types.KLine
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@ -118,11 +122,9 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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return nil, nil, fmt.Errorf("order quantity %s is less than minQuantity %s, order: %+v", o.Quantity.String(), m.Market.MinQuantity.String(), o)
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}
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if !price.IsZero() {
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quoteQuantity := o.Quantity.Mul(price)
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if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
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return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
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}
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quoteQuantity := o.Quantity.Mul(price)
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if quoteQuantity.Compare(m.Market.MinNotional) < 0 {
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return nil, nil, fmt.Errorf("order amount %s is less than minNotional %s, order: %+v", quoteQuantity.String(), m.Market.MinNotional.String(), o)
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}
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switch o.Side {
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@ -147,7 +149,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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m.EmitOrderUpdate(order)
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// emit trade before we publish order
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trade := m.newTradeFromOrder(order, false)
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trade := m.newTradeFromOrder(&order, false)
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m.executeTrade(trade)
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// update the order status
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@ -184,11 +186,9 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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// execute trade, update account balances
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if trade.IsBuyer {
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err = m.Account.UseLockedBalance(m.Market.QuoteCurrency, trade.Price.Mul(trade.Quantity))
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m.Account.AddBalance(m.Market.BaseCurrency, trade.Quantity.Sub(trade.Fee.Div(trade.Price)))
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} else {
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err = m.Account.UseLockedBalance(m.Market.BaseCurrency, trade.Quantity)
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m.Account.AddBalance(m.Market.QuoteCurrency, trade.Quantity.Mul(trade.Price).Sub(trade.Fee))
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}
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@ -201,7 +201,7 @@ func (m *SimplePriceMatching) executeTrade(trade types.Trade) {
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return
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}
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func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool) types.Trade {
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func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool) types.Trade {
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// BINANCE uses 0.1% for both maker and taker
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// MAX uses 0.050% for maker and 0.15% for taker
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var feeRate fixedpoint.Value
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@ -258,6 +258,8 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
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}
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func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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klineMatchingLogger.Debugf("kline buy to price %s", price.String())
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var askOrders []types.Order
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for _, o := range m.askOrders {
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@ -320,19 +322,24 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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m.askOrders = askOrders
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m.LastPrice = price
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for _, o := range closedOrders {
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trade := m.newTradeFromOrder(o, true)
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for i := range closedOrders {
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o := closedOrders[i]
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trade := m.newTradeFromOrder(&o, true)
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m.executeTrade(trade)
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closedOrders[i] = o
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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}
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m.closedOrders = append(m.closedOrders, closedOrders...)
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return closedOrders, trades
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}
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func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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klineMatchingLogger.Debugf("kline sell to price %s", price.String())
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var sellPrice = price
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var bidOrders []types.Order
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for _, o := range m.bidOrders {
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@ -370,9 +377,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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if sellPrice.Compare(o.Price) <= 0 {
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if o.Price.Compare(m.LastKLine.High) > 0 {
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o.Price = m.LastKLine.High
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -388,14 +392,17 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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m.bidOrders = bidOrders
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m.LastPrice = price
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for _, o := range closedOrders {
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trade := m.newTradeFromOrder(o, true)
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for i := range closedOrders {
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o := closedOrders[i]
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trade := m.newTradeFromOrder(&o, true)
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m.executeTrade(trade)
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closedOrders[i] = o
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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}
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m.closedOrders = append(m.closedOrders, closedOrders...)
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return closedOrders, trades
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}
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@ -410,7 +417,8 @@ func (m *SimplePriceMatching) processKLine(kline types.KLine) {
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m.BuyToPrice(kline.High)
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}
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if kline.Low.Compare(kline.Close) > 0 {
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// if low is lower than close, sell to low first, and then buy up to close
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if kline.Low.Compare(kline.Close) < 0 {
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m.SellToPrice(kline.Low)
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m.BuyToPrice(kline.Close)
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} else {
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@ -21,7 +21,69 @@ func newLimitOrder(symbol string, side types.SideType, price, quantity float64)
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}
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}
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func TestSimplePriceMatching_LimitOrder(t *testing.T) {
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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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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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for i := 0; i <= 5; i++ {
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var p = 20000.0 + float64(i)*1000.0
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001))
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assert.NoError(t, err)
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}
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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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assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time())
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engine.processKLine(k)
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assert.Equal(t, 3, len(engine.bidOrders))
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assert.Len(t, engine.bidOrders, 3)
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assert.Equal(t, 3, len(engine.closedOrders))
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for _, o := range engine.closedOrders {
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assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time())
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}
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}
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func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine {
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return types.KLine{
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Symbol: symbol,
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StartTime: types.Time(startTime),
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EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
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Interval: interval,
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Open: fixedpoint.NewFromFloat(o),
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High: fixedpoint.NewFromFloat(h),
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Low: fixedpoint.NewFromFloat(l),
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Close: fixedpoint.NewFromFloat(c),
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Closed: true,
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}
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}
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func TestSimplePriceMatching_PlaceLimitOrder(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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@ -44,9 +106,8 @@ func TestSimplePriceMatching_LimitOrder(t *testing.T) {
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}
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engine := &SimplePriceMatching{
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CurrentTime: time.Now(),
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Account: account,
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Market: market,
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Account: account,
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Market: market,
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}
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for i := 0; i < 5; i++ {
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