feature: add multiple exchange support in backtest

fix: change doc, since --exchange removed from backtest

fix: test for config changes

config/bollgrid.yaml

@@ -52,6 +52,7 @@ backtest:
   symbols:
   - BTCUSDT
   account:
+    max:
       makerCommission: 15
       takerCommission: 15
       balances:

config/bollmaker.yaml

@@ -5,8 +5,13 @@ persistence:
     port: 6379
     db: 0
 
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: BINANCE
+
 # example command:
-#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
 backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
@@ -16,6 +21,7 @@ backtest:
   symbols:
   - ETHUSDT
   account:
+    binance:
       balances:
         ETH: 1.0
         USDT: 20_000.0

config/grid-usdttwd.yaml

@@ -30,6 +30,7 @@ backtest:
   symbols:
   - USDTTWD
   account:
+    max:
       makerCommission: 15
       takerCommission: 15
       balances:

config/grid.yaml

@@ -4,9 +4,9 @@ sessions:
     exchange: binance
     envVarPrefix: binance
 
-  max:
-    exchange: max
-    envVarPrefix: max
+  #max:
+  #  exchange: max
+  #  envVarPrefix: max
 
 riskControls:
   # This is the session-based risk controller, which let you configure different risk controller by session.
@@ -26,23 +26,24 @@ riskControls:
               maxOrderAmount: 1000.0
 
 # example command:
-#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange max --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
+#    godotenv -f .env.local -- go run ./cmd/bbgo backtest --sync-from 2020-11-01 --config config/grid.yaml --base-asset-baseline
 backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2021-01-10"
-  endTime: "2021-01-21"
+  startTime: "2022-01-10"
+  endTime: "2022-01-11"
   symbols:
     - BTCUSDT
   account:
+    binance:
       balances:
         BTC: 0.0
         USDT: 10000.0
 
 exchangeStrategies:
 
-- on: max
+- on: binance
   grid:
     symbol: BTCUSDT
     quantity: 0.001

config/pricedrop.yaml

@@ -40,11 +40,12 @@ backtest:
   # for testing max draw down (MDD) at 03-12
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
-  startTime: "2020-01-01"
-  endTime: "2020-01-15"
+  startTime: "2022-01-01"
+  endTime: "2022-01-15"
   symbols:
   - BTCUSDT
   account:
+    binance:
       makerCommission: 15
       takerCommission: 15
       buyerCommission: 0

config/schedule-ethusdt.yaml

@@ -1,11 +1,18 @@
 ---
-# time godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange binance --base-asset-baseline --config config/schedule-ethusdt.yaml -v
+
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+# time godotenv -f .env.local -- go run ./cmd/bbgo backtest --base-asset-baseline --config config/schedule-ethusdt.yaml -v
 backtest:
   startTime: "2021-08-01"
   endTime: "2021-08-07"
   symbols:
   - ETHUSDT
   account:
+    binance:
       balances:
         ETH: 1.0
         USDT: 20_000.0

config/skeleton.yaml

@@ -16,6 +16,7 @@ backtest:
   symbols:
     - BNBBUSD
   account:
+    binance:
       balances:
         BNB: 0
         BUSD: 10000

config/support-margin.yaml

@@ -44,13 +44,13 @@ backtest:
   startTime: "2020-09-04"
   endTime: "2020-09-14"
   symbols:
-  - BTCUSDT
-  - ETHUSDT
+  - LINKUSDT
   account:
+    binance:
       makerCommission: 15
       takerCommission: 15
       balances:
-      BTC: 0.0
+        LINK: 0.0
         USDT: 10000.0
 
 exchangeStrategies:
@@ -59,14 +59,14 @@ exchangeStrategies:
   support:
     symbol: LINKUSDT
     interval: 1m
-    minVolume: 1_000
+    minVolume: 2_000
     marginOrderSideEffect: borrow
 
     scaleQuantity:
       byVolume:
         exp:
           domain: [ 1_000, 200_000 ]
-          range: [ 0.5, 1.0 ]
+          range: [ 3.0, 5.0 ]
 
     maxBaseAssetBalance: 1000.0
     minQuoteAssetBalance: 2000.0

config/support.yaml

@@ -44,6 +44,7 @@ backtest:
   - BTCUSDT
   - ETHUSDT
   account:
+    binance:
       balances:
         BTC: 0.0
         USDT: 10000.0

doc/commands/bbgo.md

@@ -47,7 +47,7 @@ bbgo [flags]
 * [bbgo orderupdate](bbgo_orderupdate.md)	 - Listen to order update events
 * [bbgo pnl](bbgo_pnl.md)	 - pnl calculator
 * [bbgo run](bbgo_run.md)	 - run strategies from config file
-* [bbgo submit-order](bbgo_submit-order.md)	 - place limit order to the exchange
+* [bbgo submit-order](bbgo_submit-order.md)	 - place order to the exchange
 * [bbgo sync](bbgo_sync.md)	 - sync trades and orders history
 * [bbgo trades](bbgo_trades.md)	 - Query trading history
 * [bbgo tradeupdate](bbgo_tradeupdate.md)	 - Listen to trade update events

doc/commands/bbgo_account.md

@@ -3,7 +3,7 @@
 show user account details (ex: balance)
 
 ```
-bbgo account [--session=[exchange_name]] [flags]
+bbgo account [--session SESSION] [flags]
 ```
 
 ### Options

doc/commands/bbgo_backtest.md

@@ -10,7 +10,6 @@ bbgo backtest [flags]
 
 ```
       --base-asset-baseline   use base asset performance as the competitive baseline performance
-      --exchange string       target exchange
       --force                 force execution without confirm
   -h, --help                  help for backtest
       --output string         the report output directory

doc/commands/bbgo_balances.md

@@ -3,7 +3,7 @@
 Show user account balances
 
 ```
-bbgo balances --session SESSION [flags]
+bbgo balances [--session SESSION] [flags]
 ```
 
 ### Options

doc/commands/bbgo_submit-order.md

@@ -1,6 +1,6 @@
 ## bbgo submit-order
 
-place limit order to the exchange
+place order to the exchange
 
 ```
 bbgo submit-order --session SESSION --symbol SYMBOL --side SIDE --quantity QUANTITY [--price PRICE] [flags]

doc/topics/back-testing.md

@@ -20,6 +20,7 @@ backtest:
   
   account:
     # the initial account balance you want to start with
+    binance: # exchange name
       balances:
         BTC: 0.0
         USDT: 10000.0
@@ -33,7 +34,7 @@ Note on date formats, the following date formats are supported:
 And then, you can sync remote exchange k-lines (candle bars) data for back-testing:
 
 ```sh
-bbgo backtest --exchange binance -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
+bbgo backtest -v --sync --sync-only --sync-from 2020-11-01 --config config/grid.yaml
 ```
 
 Note that, you should sync from an earlier date before your startTime because some indicator like EMA needs more data to calculate the current EMA value.
@@ -48,13 +49,13 @@ Here we sync one month before `2021-01-10`.
 Run back-test:
 
 ```sh
-bbgo backtest --exchange binance --base-asset-baseline --config config/grid.yaml
+bbgo backtest --base-asset-baseline --config config/grid.yaml
 ```
 
 If you're developing a strategy, you might want to start with a command like this:
 
 ```shell
-godotenv -f .env.local -- go run ./cmd/bbgo backtest --exchange binance --config config/grid.yaml --base-asset-baseline
+godotenv -f .env.local -- go run ./cmd/bbgo backtest --config config/grid.yaml --base-asset-baseline
 ```
 
 ## See Also

pkg/backtest/exchange.go

@@ -83,13 +83,15 @@ func NewExchange(sourceName types.ExchangeName, sourceExchange types.Exchange, s
 		endTime = time.Now()
 	}
 
+	configAccount := config.Account[sourceName.String()]
+
 	account := &types.Account{
-		MakerFeeRate: config.Account.MakerFeeRate,
-		TakerFeeRate: config.Account.TakerFeeRate,
+		MakerFeeRate: configAccount.MakerFeeRate,
+		TakerFeeRate: configAccount.TakerFeeRate,
 		AccountType:  types.AccountTypeSpot,
 	}
 
-	balances := config.Account.Balances.BalanceMap()
+	balances := configAccount.Balances.BalanceMap()
 	account.UpdateBalances(balances)
 
 	e := &Exchange{
@@ -288,7 +290,7 @@ func (e *Exchange) matchingBook(symbol string) (*SimplePriceMatching, bool) {
 	return m, ok
 }
 
-func (e *Exchange) FeedMarketData() error {
+func (e *Exchange) InitMarketData() {
 	e.userDataStream.OnTradeUpdate(func(trade types.Trade) {
 		e.addTrade(trade)
 	})
@@ -301,7 +303,9 @@ func (e *Exchange) FeedMarketData() error {
 	}
 	e.matchingBooksMutex.Unlock()
 
-	marketDataStream := e.marketDataStream
+}
+
+func (e *Exchange) GetMarketData() (chan types.KLine, error) {
 	log.Infof("collecting backtest configurations...")
 
 	loadedSymbols := map[string]struct{}{}
@@ -310,8 +314,7 @@ func (e *Exchange) FeedMarketData() error {
 		types.Interval1m: {},
 		types.Interval1d: {},
 	}
-
-	for _, sub := range marketDataStream.Subscriptions {
+	for _, sub := range e.marketDataStream.Subscriptions {
 		loadedSymbols[sub.Symbol] = struct{}{}
 
 		switch sub.Channel {
@@ -319,7 +322,7 @@ func (e *Exchange) FeedMarketData() error {
 			loadedIntervals[types.Interval(sub.Options.Interval)] = struct{}{}
 
 		default:
-			return fmt.Errorf("stream channel %s is not supported in backtest", sub.Channel)
+			return nil, fmt.Errorf("stream channel %s is not supported in backtest", sub.Channel)
 		}
 	}
 
@@ -336,35 +339,33 @@ func (e *Exchange) FeedMarketData() error {
 	log.Infof("using symbols: %v and intervals: %v for back-testing", symbols, intervals)
 	log.Infof("querying klines from database...")
 	klineC, errC := e.srv.QueryKLinesCh(e.startTime, e.endTime, e, symbols, intervals)
-	numKlines := 0
-	for k := range klineC {
+	go func() {
+		if err := <-errC; err != nil {
+			log.WithError(err).Error("backtest data feed error")
+		}
+	}()
+	return klineC, nil
+}
+
+func (e *Exchange) ConsumeKLine(k types.KLine) {
 	if k.Interval == types.Interval1m {
 		matching, ok := e.matchingBook(k.Symbol)
 		if !ok {
 			log.Errorf("matching book of %s is not initialized", k.Symbol)
-				continue
+			return
 		}
 
 		// here we generate trades and order updates
 		matching.processKLine(k)
-			numKlines++
 	}
 
-		marketDataStream.EmitKLineClosed(k)
+	e.marketDataStream.EmitKLineClosed(k)
 }
 
-	if err := <-errC; err != nil {
-		log.WithError(err).Error("backtest data feed error")
-	}
-
-	if numKlines == 0 {
-		log.Error("kline data is empty, make sure you have sync the exchange market data")
-	}
-
-	if err := marketDataStream.Close(); err != nil {
+func (e *Exchange) CloseMarketData() error {
+	if err := e.marketDataStream.Close(); err != nil {
 		log.WithError(err).Error("stream close error")
 		return err
 	}
-
 	return nil
 }

pkg/bbgo/config.go

@@ -99,9 +99,9 @@ type Backtest struct {
 
 	// RecordTrades is an option, if set to true, back-testing should record the trades into database
 	RecordTrades bool                       `json:"recordTrades,omitempty" yaml:"recordTrades,omitempty"`
-	Account      BacktestAccount `json:"account" yaml:"account"`
+	Account      map[string]BacktestAccount `json:"account" yaml:"account"`
 	Symbols      []string                   `json:"symbols" yaml:"symbols"`
-	Session      string          `json:"session" yaml:"session"`
+	Sessions     []string                   `json:"sessions" yaml:"sessions"`
 }
 
 type BacktestAccount struct {

pkg/bbgo/config_test.go

@@ -188,8 +188,8 @@ func TestLoadConfig(t *testing.T) {
 				assert.Len(t, config.ExchangeStrategies, 1)
 				assert.NotNil(t, config.Backtest)
 				assert.NotNil(t, config.Backtest.Account)
-				assert.NotNil(t, config.Backtest.Account.Balances)
-				assert.Len(t, config.Backtest.Account.Balances, 2)
+				assert.NotNil(t, config.Backtest.Account["binance"].Balances)
+				assert.Len(t, config.Backtest.Account["binance"].Balances, 2)
 			},
 		},
 	}

pkg/bbgo/testdata/backtest.yaml

@@ -14,6 +14,7 @@ backtest:
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
   startTime: "2020-01-01"
   account:
+    binance:
       makerCommission: 15
       takerCommission: 15
       buyerCommission: 0

pkg/cmd/backtest.go

@@ -36,7 +36,6 @@ type BackTestReport struct {
 }
 
 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", "", "sync backtest data from the given time, which will override the time range in the backtest config")
@@ -54,6 +53,9 @@ var BacktestCmd = &cobra.Command{
 	Use:          "backtest",
 	Short:        "backtest your strategies",
 	SilenceUsage: true,
+	PreRunE: cobraInitRequired([]string{
+		"config",
+	}),
 	RunE: func(cmd *cobra.Command, args []string) error {
 		verboseCnt, err := cmd.Flags().GetCount("verbose")
 		if err != nil {
@@ -110,11 +112,6 @@ var BacktestCmd = &cobra.Command{
 			return err
 		}
 
-		exchangeNameStr, err := cmd.Flags().GetString("exchange")
-		if err != nil {
-			return err
-		}
-
 		userConfig, err := bbgo.Load(configFile, true)
 		if err != nil {
 			return err
@@ -129,45 +126,44 @@ var BacktestCmd = &cobra.Command{
 			log.SetLevel(log.ErrorLevel)
 		}
 
-		// if it's declared in the cmd , use the cmd one first
-		if exchangeNameStr == "" {
-			exchangeNameStr = userConfig.Backtest.Session
+		if userConfig.Backtest == nil {
+			return errors.New("backtest config is not defined")
 		}
 
-		var sourceExchange types.Exchange
-		var exchangeName types.ExchangeName
+		acceptAllSessions := false
+		var whitelistedSessions map[string]struct{}
+		if len(userConfig.Backtest.Sessions) == 0 {
+			acceptAllSessions = true
+		} else {
+			for _, name := range userConfig.Backtest.Sessions {
+				_, err := types.ValidExchangeName(name)
+				if err != nil {
+					return err
+				}
+				whitelistedSessions[name] = struct{}{}
+			}
+		}
+
+		sourceExchanges := make(map[string]types.Exchange)
 
 		for key, session := range userConfig.Sessions {
-			if exchangeNameStr == key {
+			ok := acceptAllSessions
+			if !ok {
+				_, ok = whitelistedSessions[key]
+			}
+			if ok {
 				publicExchange, err := cmdutil.NewExchangePublic(session.ExchangeName)
 				if err != nil {
 					return err
 				}
 
-				sourceExchange = publicExchange
-				exchangeName = session.ExchangeName
-			}
-		}
-
-		if sourceExchange == nil {
-			exchangeName, err = types.ValidExchangeName(exchangeNameStr)
-			if err != nil {
-				return err
-			}
-
-			sourceExchange, err = cmdutil.NewExchangePublic(exchangeName)
-			if err != nil {
-				return err
+				sourceExchanges[key] = publicExchange
 			}
 		}
 
 		ctx, cancel := context.WithCancel(context.Background())
 		defer cancel()
 
-		if userConfig.Backtest == nil {
-			return errors.New("backtest config is not defined")
-		}
-
 		var now = time.Now()
 		var startTime, endTime time.Time
 
@@ -183,10 +179,6 @@ var BacktestCmd = &cobra.Command{
 		}
 		_ = endTime
 
-		if len(userConfig.CrossExchangeStrategies) > 0 {
-			log.Warnf("backtest does not support CrossExchangeStrategy, strategies won't be added.")
-		}
-
 		log.Infof("starting backtest with startTime %s", startTime.Format(time.ANSIC))
 
 		environ := bbgo.NewEnvironment()
@@ -223,6 +215,7 @@ var BacktestCmd = &cobra.Command{
 			log.Info("starting synchronization...")
 			for _, symbol := range userConfig.Backtest.Symbols {
 
+				for _, sourceExchange := range sourceExchanges {
 					exCustom, ok := sourceExchange.(types.CustomIntervalProvider)
 
 					var supportIntervals map[types.Interval]int
@@ -254,14 +247,17 @@ var BacktestCmd = &cobra.Command{
 						}
 					}
 				}
+			}
 			log.Info("synchronization done")
 
+			for _, sourceExchange := range sourceExchanges {
 				if shouldVerify {
 					err2, done := backtestService.Verify(userConfig.Backtest.Symbols, startTime, time.Now(), sourceExchange, verboseCnt)
 					if done {
 						return err2
 					}
 				}
+			}
 
 			if syncOnly {
 				return nil
@@ -283,19 +279,17 @@ var BacktestCmd = &cobra.Command{
 			}
 		}
 
-		if userConfig.Backtest == nil {
-			return errors.New("backtest config can not be nil")
-		}
-
-		backtestExchange, err := backtest.NewExchange(exchangeName, sourceExchange, backtestService, userConfig.Backtest)
-		if err != nil {
-			return errors.Wrap(err, "failed to create backtest exchange")
-		}
-
 		environ.SetStartTime(startTime)
 
 		// exchangeNameStr is the session name.
-		environ.AddExchange(exchangeNameStr, backtestExchange)
+		for name, sourceExchange := range sourceExchanges {
+
+			backtestExchange, err := backtest.NewExchange(sourceExchange.Name(), sourceExchange, backtestService, userConfig.Backtest)
+			if err != nil {
+				return errors.Wrap(err, "failed to create backtest exchange")
+			}
+			environ.AddExchange(name, backtestExchange)
+		}
 
 		if err := environ.Init(ctx); err != nil {
 			return err
@@ -314,7 +308,42 @@ var BacktestCmd = &cobra.Command{
 			return err
 		}
 
-		backtestExchange.FeedMarketData()
+		type KChanEx struct {
+			KChan    chan types.KLine
+			Exchange *backtest.Exchange
+		}
+		for _, session := range environ.Sessions() {
+			backtestExchange := session.Exchange.(*backtest.Exchange)
+			backtestExchange.InitMarketData()
+		}
+
+		var klineChans []KChanEx
+		for _, session := range environ.Sessions() {
+			exchange := session.Exchange.(*backtest.Exchange)
+			c, err := exchange.GetMarketData()
+			if err != nil {
+				return err
+			}
+			klineChans = append(klineChans, KChanEx{KChan: c, Exchange: exchange})
+		}
+
+		for {
+			count := len(klineChans)
+			for _, kchanex := range klineChans {
+				kLine, more := <-kchanex.KChan
+				if more {
+					kchanex.Exchange.ConsumeKLine(kLine)
+				} else {
+					if err := kchanex.Exchange.CloseMarketData(); err != nil {
+						return err
+					}
+					count--
+				}
+			}
+			if count == 0 {
+				break
+			}
+		}
 
 		log.Infof("shutting down trader...")
 		shutdownCtx, cancel := context.WithDeadline(ctx, time.Now().Add(10*time.Second))
@@ -324,10 +353,12 @@ var BacktestCmd = &cobra.Command{
 		// put the logger back to print the pnl
 		log.SetLevel(log.InfoLevel)
 		for _, session := range environ.Sessions() {
+			backtestExchange := session.Exchange.(*backtest.Exchange)
+			exchangeName := session.Exchange.Name().String()
 			for symbol, trades := range session.Trades {
 				market, ok := session.Market(symbol)
 				if !ok {
-					return fmt.Errorf("market not found: %s", symbol)
+					return fmt.Errorf("market not found: %s, %s", symbol, exchangeName)
 				}
 
 				calculator := &pnl.AverageCostCalculator{
@@ -337,21 +368,21 @@ var BacktestCmd = &cobra.Command{
 
 				startPrice, ok := session.StartPrice(symbol)
 				if !ok {
-					return fmt.Errorf("start price not found: %s", symbol)
+					return fmt.Errorf("start price not found: %s, %s", symbol, exchangeName)
 				}
 
 				lastPrice, ok := session.LastPrice(symbol)
 				if !ok {
-					return fmt.Errorf("last price not found: %s", symbol)
+					return fmt.Errorf("last price not found: %s, %s", symbol, exchangeName)
 				}
 
-				log.Infof("%s PROFIT AND LOSS REPORT", symbol)
-				log.Infof("===============================================")
+				color.Green("%s %s PROFIT AND LOSS REPORT", strings.ToUpper(exchangeName), symbol)
+				color.Green("===============================================")
 
 				report := calculator.Calculate(symbol, trades.Trades, lastPrice)
 				report.Print()
 
-				initBalances := userConfig.Backtest.Account.Balances.BalanceMap()
+				initBalances := userConfig.Backtest.Account[exchangeName].Balances.BalanceMap()
 				finalBalances := session.Account.Balances()
 
 				log.Infof("INITIAL BALANCES:")