add kline dumper

pkg/backtest/dumper.go

@@ -0,0 +1,108 @@
+package backtest
+
+import (
+	"encoding/csv"
+	"fmt"
+	"os"
+	"path/filepath"
+	"strconv"
+	"time"
+
+	"go.uber.org/multierr"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+const DateFormat = "2006-01-02T15:04"
+
+type symbolInterval struct {
+	Symbol   string
+	Interval types.Interval
+}
+
+// KLineDumper dumps the received kline data into a folder for the backtest report to load the charts.
+type KLineDumper struct {
+	OutputDirectory string
+	files           map[symbolInterval]*os.File
+	writers         map[symbolInterval]*csv.Writer
+	filenames       map[symbolInterval]string
+}
+
+func NewKLineDumper(outputDirectory string) *KLineDumper {
+	return &KLineDumper{
+		OutputDirectory: outputDirectory,
+		files:           make(map[symbolInterval]*os.File),
+		writers:         make(map[symbolInterval]*csv.Writer),
+		filenames:       make(map[symbolInterval]string),
+	}
+}
+
+func (d *KLineDumper) Filenames() map[symbolInterval]string {
+	return d.filenames
+}
+
+func (d *KLineDumper) formatFileName(symbol string, interval types.Interval) string {
+	return filepath.Join(d.OutputDirectory, fmt.Sprintf("%s-%s.csv",
+		symbol,
+		interval))
+}
+
+var csvHeader = []string{"date", "startTime", "endTime", "interval", "open", "high", "low", "close", "volume"}
+
+func (d *KLineDumper) encode(k types.KLine) []string {
+	return []string{
+		time.Time(k.StartTime).Format(time.ANSIC), // ANSIC date - for javascript to parse (this works with Date.parse(date_str)
+		strconv.FormatInt(k.StartTime.Unix(), 10),
+		strconv.FormatInt(k.EndTime.Unix(), 10),
+		k.Interval.String(),
+		k.Open.String(),
+		k.High.String(),
+		k.Low.String(),
+		k.Close.String(),
+		k.Volume.String(),
+	}
+}
+
+func (d *KLineDumper) Record(k types.KLine) error {
+	si := symbolInterval{Symbol: k.Symbol, Interval: k.Interval}
+
+	w, ok := d.writers[si]
+	if !ok {
+		filename := d.formatFileName(k.Symbol, k.Interval)
+		f2, err := os.Create(filename)
+		if err != nil {
+			return err
+		}
+
+		w = csv.NewWriter(f2)
+		d.files[si] = f2
+		d.writers[si] = w
+		d.filenames[si] = filename
+
+		if err := w.Write(csvHeader); err != nil {
+			return err
+		}
+	}
+
+	if err := w.Write(d.encode(k)); err != nil {
+		return err
+	}
+
+	return nil
+}
+
+func (d *KLineDumper) Close() error {
+	for _, w := range d.writers {
+		w.Flush()
+	}
+
+	var err error = nil
+	for _, f := range d.files {
+		err2 := f.Close()
+		if err2 != nil {
+			err = multierr.Append(err, err2)
+		}
+	}
+
+	return err
+}

pkg/backtest/dumper_test.go

@@ -0,0 +1,54 @@
+package backtest
+
+import (
+	"encoding/csv"
+	"os"
+	"testing"
+	"time"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func TestKLineDumper(t *testing.T) {
+	tempDir := os.TempDir()
+	_ = os.Mkdir(tempDir, 0755)
+	dumper := NewKLineDumper(tempDir)
+
+	t1 := time.Now()
+	err := dumper.Record(types.KLine{
+		Exchange:                 types.ExchangeBinance,
+		Symbol:                   "BTCUSDT",
+		StartTime:                types.Time(t1),
+		EndTime:                  types.Time(t1.Add(time.Minute)),
+		Interval:                 types.Interval1m,
+		Open:                     fixedpoint.NewFromFloat(1000.0),
+		High:                     fixedpoint.NewFromFloat(2000.0),
+		Low:                      fixedpoint.NewFromFloat(3000.0),
+		Close:                    fixedpoint.NewFromFloat(4000.0),
+		Volume:                   fixedpoint.NewFromFloat(5000.0),
+		QuoteVolume:              fixedpoint.NewFromFloat(6000.0),
+		NumberOfTrades:           10,
+		Closed:                   true,
+	})
+	assert.NoError(t, err)
+
+	err = dumper.Close()
+	assert.NoError(t, err)
+
+	filenames := dumper.Filenames()
+	assert.NotEmpty(t, filenames)
+	for _, filename := range filenames {
+		f, err := os.Open(filename)
+		if assert.NoError(t, err) {
+			reader := csv.NewReader(f)
+			records, err2 := reader.Read()
+			if assert.NoError(t, err2) {
+				assert.NotEmptyf(t, records, "%v", records)
+			}
+
+		}
+	}
+}

pkg/backtest/report.go

@@ -6,7 +6,7 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-type BackTestReport struct {
+type Report struct {
 	Symbol          string                    `json:"symbol,omitempty"`
 	LastPrice       fixedpoint.Value          `json:"lastPrice,omitempty"`
 	StartPrice      fixedpoint.Value          `json:"startPrice,omitempty"`
@@ -14,3 +14,4 @@ type BackTestReport struct {
 	InitialBalances types.BalanceMap          `json:"initialBalances,omitempty"`
 	FinalBalances   types.BalanceMap          `json:"finalBalances,omitempty"`
 }
+

pkg/cmd/backtest.go

@@ -416,7 +416,7 @@ var BacktestCmd = &cobra.Command{
 				finalBalances.Print()
 
 				if jsonOutputEnabled {
-					result := backtest.BackTestReport{
+					result := backtest.Report{
 						Symbol:          symbol,
 						LastPrice:       lastPrice,
 						StartPrice:      startPrice,