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refactory sync mode into the backtest command

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This commit is contained in:
c9s 2020-11-11 16:08:24 +08:00
parent 097b2d30a6
commit 24e5911140
3 changed files with 81 additions and 6 deletions
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76
pkg/cmd/backtest.go
View File

@ -20,6 +20,8 @@ import (
func init() {
BacktestCmd.Flags().String("exchange", "", "target exchange")
BacktestCmd.Flags().Bool("sync", false, "sync backtest data")
BacktestCmd.Flags().Bool("sync-only", false, "sync backtest data only, do not run backtest")
BacktestCmd.Flags().String("sync-from", time.Now().AddDate(0, -6, 0).Format(types.DateFormat), "sync backtest data from the given time")
BacktestCmd.Flags().Bool("base-asset-baseline", false, "use base asset performance as the competitive baseline performance")
BacktestCmd.Flags().CountP("verbose", "v", "verbose level")
BacktestCmd.Flags().String("config", "config/bbgo.yaml", "strategy config file")
@ -55,6 +57,21 @@ var BacktestCmd = &cobra.Command{
return err
}
syncOnly, err := cmd.Flags().GetBool("sync-only")
if err != nil {
return err
}
syncFromDateStr, err := cmd.Flags().GetString("sync-from")
if err != nil {
return err
}
syncFromTime, err := time.Parse(types.DateFormat, syncFromDateStr)
if err != nil {
return err
}
exchangeNameStr, err := cmd.Flags().GetString("exchange")
if err != nil {
return err
@ -65,7 +82,7 @@ var BacktestCmd = &cobra.Command{
return err
}
exchange, err := cmdutil.NewExchange(exchangeName)
sourceExchange, err := cmdutil.NewExchange(exchangeName)
if err != nil {
return err
}
@ -100,11 +117,62 @@ var BacktestCmd = &cobra.Command{
backtestService := &service.BacktestService{DB: db}
if wantSync {
log.Info("starting synchronization...")
for _, symbol := range userConfig.Backtest.Symbols {
if err := backtestService.Sync(ctx, exchange, symbol, startTime); err != nil {
if err := backtestService.Sync(ctx, sourceExchange, symbol, syncFromTime); err != nil {
return err
}
}
log.Info("synchronization done")
var corruptCnt = 0
for _, symbol := range userConfig.Backtest.Symbols {
log.Infof("verifying backtesting data...")
for interval := range types.SupportedIntervals {
log.Infof("verifying %s %s kline data...", symbol, interval)
klineC, errC := backtestService.QueryKLinesCh(startTime, time.Now(), sourceExchange, []string{symbol}, []types.Interval{interval})
var emptyKLine types.KLine
var prevKLine types.KLine
for k := range klineC {
if verboseCnt > 1 {
fmt.Print(".")
}
if prevKLine != emptyKLine {
if prevKLine.StartTime.Add(interval.Duration()) != k.StartTime {
corruptCnt++
log.Errorf("found kline data corrupted at time: %s kline: %+v", k.StartTime, k)
log.Errorf("between %d and %d",
prevKLine.StartTime.Unix(),
k.StartTime.Unix())
}
}
prevKLine = k
}
if verboseCnt > 1 {
fmt.Println()
}
if err := <-errC; err != nil {
return err
}
}
}
log.Infof("backtest verification completed")
if corruptCnt > 0 {
log.Errorf("found %d corruptions", corruptCnt)
} else {
log.Infof("found %d corruptions", corruptCnt)
}
if syncOnly {
return nil
}
}
backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
@ -195,8 +263,8 @@ var BacktestCmd = &cobra.Command{
log.Infof("INITIAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(initBaseAsset), market.BaseCurrency, market.BaseCurrency, startPrice)
log.Infof("FINAL ASSET ~= %s %s (1 %s = %f)", market.FormatQuantity(finalBaseAsset), market.BaseCurrency, market.BaseCurrency, lastPrice)
log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", symbol, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", symbol, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
log.Infof("%s BASE ASSET PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (finalBaseAsset-initBaseAsset)/initBaseAsset*100.0, finalBaseAsset, initBaseAsset, initBaseAsset)
log.Infof("%s PERFORMANCE: %.2f%% (= (%.2f - %.2f) / %.2f)", market.BaseCurrency, (lastPrice-startPrice)/startPrice*100.0, lastPrice, startPrice, startPrice)
}
}
}

4
pkg/exchange/max/maxapi/public.go
View File

@ -301,8 +301,8 @@ func parseKLines(payload []byte, symbol, resolution string, interval Interval) (
return nil, fmt.Errorf("failed to parse timestamp: %s", payload)
}
startTime := time.Unix(ts, 0).UTC()
endTime := time.Unix(ts, 0).Add(time.Duration(interval)*time.Minute - time.Millisecond).UTC()
startTime := time.Unix(ts, 0)
endTime := time.Unix(ts, 0).Add(time.Duration(interval)*time.Minute - time.Millisecond)
isClosed := time.Now().Before(endTime)
klines = append(klines, KLine{
Symbol: symbol,

7
pkg/types/exchange.go
View File

@ -9,6 +9,8 @@ import (
log "github.com/sirupsen/logrus"
)
const DateFormat = "2006-01-02"
type ExchangeName string
func (n ExchangeName) String() string {
@ -140,6 +142,11 @@ func (e ExchangeBatchProcessor) BatchQueryKLines(ctx context.Context, symbol str
}
for _, kline := range kLines {
// ignore any kline before the given start time
if kline.StartTime.Before(startTime) {
continue
}
if kline.EndTime.After(endTime) {
return
}