all: fix constant naming and type naming

pkg/cmd/backtest.go

@@ -565,6 +565,7 @@ var BacktestCmd = &cobra.Command{
 					continue
 				}
 
+				tradeState := sessionTradeStats[session.Name][symbol]
 				profitFactor := tradeState.ProfitFactor
 				winningRatio := tradeState.WinningRatio
 				intervalProfits := tradeState.IntervalProfits[types.Interval1d]

pkg/datasource/csvsource/tick_downloader.go

@@ -19,47 +19,11 @@ import (
 	"github.com/c9s/bbgo/pkg/types"
 )
 
-type MarketType string
-type DataType string
-
-const (
-	SPOT      MarketType = "spot"
-	FUTURES   MarketType = "futures"
-	TRADES    DataType   = "trades"
-	AGGTRADES DataType   = "aggTrades"
-	// todo could be extended to:
-
-	// LEVEL2 = 2
-	// https://data.binance.vision/data/futures/um/daily/bookTicker/ADAUSDT/ADAUSDT-bookTicker-2023-11-19.zip
-	// update_id	best_bid_price	best_bid_qty	best_ask_price	best_ask_qty	transaction_time	event_time
-	// 3.52214E+12	0.3772	        1632	        0.3773	        67521	        1.70035E+12	        1.70035E+12
-
-	// METRICS = 3
-	// https://data.binance.vision/data/futures/um/daily/metrics/ADAUSDT/ADAUSDT-metrics-2023-11-19.zip
-	// 	create_time	        symbol	sum_open_interest	sum_open_interest_value	count_toptrader_long_short_ratio	sum_toptrader_long_short_ratio	count_long_short_ratio	sum_taker_long_short_vol_ratio
-	//  19/11/2023 00:00	ADAUSDT	141979878.00000000	53563193.89339590	    2.33412322	                        1.21401178	                    2.46604727	            0.55265805
-
-	// KLINES    DataType = 4
-	// https://public.bybit.com/kline_for_metatrader4/BNBUSDT/2021/BNBUSDT_15_2021-07-01_2021-07-31.csv.gz
-	// only few symbols but supported interval options 1m/ 5m/ 15m/ 30m/ 60m/ and only monthly
-
-	// https://data.binance.vision/data/futures/um/daily/klines/1INCHBTC/30m/1INCHBTC-30m-2023-11-18.zip
-	// supported interval options 1s/ 1m/ 3m/ 5m/ 15m/ 30m/ 1h/ 2h/ 4h/ 6h/ 8h/ 12h/ 1d/ daily or monthly futures
-
-	// this might be useful for backtesting against mark or index price
-	// especially index price can be used across exchanges
-	// https://data.binance.vision/data/futures/um/daily/indexPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
-	// https://data.binance.vision/data/futures/um/daily/markPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
-
-	// OKex or Bybit do not support direct kLine, metrics or level2 csv download
-
-)
-
 func Download(
 	path, symbol string,
 	exchange types.ExchangeName,
-	market MarketType,
+	market types.MarketType,
-	granularity DataType,
+	granularity types.MarketDataType,
 	since, until time.Time,
 ) (err error) {
 	for {
@@ -104,8 +68,8 @@ func Download(
 func buildURL(
 	exchange types.ExchangeName,
 	symbol string,
-	market MarketType,
+	market types.MarketType,
-	granularity DataType,
+	granularity types.MarketDataType,
 	fileName string,
 	start time.Time,
 ) (url string, err error) {
@@ -119,11 +83,11 @@ func buildURL(
 		)
 	case types.ExchangeBinance:
 		marketType := "spot"
-		if market == FUTURES {
+		if market == types.MarketTypeFutures {
 			marketType = "futures/um"
 		}
 		dataType := "aggTrades"
-		if granularity == TRADES {
+		if granularity == types.MarketDataTypeTrades {
 			dataType = "trades"
 		}
 		url = fmt.Sprintf("https://data.binance.vision/data/%s/daily/%s/%s/%s-%s-%s.zip",
@@ -144,11 +108,11 @@ func buildURL(
 		baseCoin := coins[0]
 		quoteCoin := coins[1]
 		marketType := "" // for spot market
-		if market == FUTURES {
+		if market == types.MarketTypeFutures {
 			marketType = "-SWAP"
 		}
 		dataType := "aggtrades"
-		if granularity == TRADES {
+		if granularity == types.MarketDataTypeTrades {
 			dataType = "trades"
 		}
 		url = fmt.Sprintf("https://static.okx.com/cdn/okex/traderecords/%s/daily/%s/%s-%s%s-%s-%s.zip",

pkg/datasource/csvsource/tick_downloader_test.go

@@ -14,8 +14,8 @@ import (
 type DownloadTester struct {
 	Exchange    types.ExchangeName
 	Reader      MakeCSVTickReader
-	Market      MarketType
+	Market      types.MarketType
-	Granularity DataType
+	Granularity types.MarketDataType
 	Symbol      string
 	Path        string
 }
@@ -35,24 +35,24 @@ func Test_CSV_Download(t *testing.T) {
 		{
 			Exchange:    types.ExchangeBinance,
 			Reader:      NewBinanceCSVTickReader,
-			Market:      SPOT,
+			Market:      types.MarketTypeSpot,
-			Granularity: AGGTRADES,
+			Granularity: types.MarketDataTypeAggTrades,
 			Symbol:      "FXSUSDT",
 			Path:        "testdata/binance/FXSUSDT",
 		},
 		{
 			Exchange:    types.ExchangeBybit,
 			Reader:      NewBybitCSVTickReader,
-			Market:      FUTURES,
+			Market:      types.MarketTypeFutures,
-			Granularity: AGGTRADES,
+			Granularity: types.MarketDataTypeAggTrades,
 			Symbol:      "FXSUSDT",
 			Path:        "testdata/bybit/FXSUSDT",
 		},
 		{
 			Exchange:    types.ExchangeOKEx,
 			Reader:      NewOKExCSVTickReader,
-			Market:      SPOT,
+			Market:      types.MarketTypeSpot,
-			Granularity: AGGTRADES,
+			Granularity: types.MarketDataTypeAggTrades,
 			Symbol:      "BTCUSDT",
 			Path:        "testdata/okex/BTCUSDT",
 		},

pkg/datasource/csvsource/types.go

@@ -6,13 +6,13 @@ import (
 )
 
 type CsvConfig struct {
-	Market      MarketType `json:"market"`
+	Market      types.MarketType     `json:"market"`
-	Granularity DataType   `json:"granularity"`
+	Granularity types.MarketDataType `json:"granularity"`
 }
 
 type CsvTick struct {
 	Exchange        types.ExchangeName `json:"exchange"`
-	Market          MarketType         `json:"market"`
+	Market          types.MarketType   `json:"market"`
 	TradeID         uint64             `json:"tradeID"`
 	Symbol          string             `json:"symbol"`
 	TickDirection   string             `json:"tickDirection"`
@@ -27,7 +27,7 @@ type CsvTick struct {
 
 func (c *CsvTick) ToGlobalTrade() (*types.Trade, error) {
 	var isFutures bool
-	if c.Market == FUTURES {
+	if c.Market == types.MarketTypeFutures {
 		isFutures = true
 	}
 	return &types.Trade{

pkg/service/backtest_csv.go

@@ -16,14 +16,14 @@ import (
 type BacktestServiceCSV struct {
 	kLines      map[types.Interval][]types.KLine
 	path        string
-	market      csvsource.MarketType
+	market      types.MarketType
-	granularity csvsource.DataType
+	granularity types.MarketDataType
 }
 
 func NewBacktestServiceCSV(
 	path string,
-	market csvsource.MarketType,
+	market types.MarketType,
-	granularity csvsource.DataType,
+	granularity types.MarketDataType,
 ) BackTestable {
 	return &BacktestServiceCSV{
 		kLines:      make(map[types.Interval][]types.KLine),
@@ -33,7 +33,9 @@ func NewBacktestServiceCSV(
 	}
 }
 
-func (s *BacktestServiceCSV) Verify(sourceExchange types.Exchange, symbols []string, startTime time.Time, endTime time.Time) error {
+func (s *BacktestServiceCSV) Verify(
+	sourceExchange types.Exchange, symbols []string, startTime time.Time, endTime time.Time,
+) error {
 	// TODO: use isFutures here
 	_, _, isIsolated, isolatedSymbol := exchange2.GetSessionAttributes(sourceExchange)
 	// override symbol if isolatedSymbol is not empty
@@ -55,7 +57,10 @@ func (s *BacktestServiceCSV) Verify(sourceExchange types.Exchange, symbols []str
 	return nil
 }
 
-func (s *BacktestServiceCSV) Sync(ctx context.Context, exchange types.Exchange, symbol string, intervals []types.Interval, startTime, endTime time.Time) error {
+func (s *BacktestServiceCSV) Sync(
+	ctx context.Context, exchange types.Exchange, symbol string, intervals []types.Interval,
+	startTime, endTime time.Time,
+) error {
 
 	log.Infof("starting fresh csv sync %s %s: %s <=> %s", exchange.Name(), symbol, startTime, endTime)
 
@@ -90,7 +95,9 @@ func (s *BacktestServiceCSV) Sync(ctx context.Context, exchange types.Exchange,
 }
 
 // QueryKLine queries the klines from the database
-func (s *BacktestServiceCSV) QueryKLine(ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int) (*types.KLine, error) {
+func (s *BacktestServiceCSV) QueryKLine(
+	ex types.ExchangeName, symbol string, interval types.Interval, orderBy string, limit int,
+) (*types.KLine, error) {
 	log.Infof("querying last kline exchange = %s AND symbol = %s AND interval = %s", ex, symbol, interval)
 	if _, ok := s.kLines[interval]; !ok || len(s.kLines[interval]) == 0 {
 		return nil, errors.New("interval not initialized")
@@ -99,7 +106,9 @@ func (s *BacktestServiceCSV) QueryKLine(ex types.ExchangeName, symbol string, in
 }
 
 // QueryKLinesForward is used for querying klines to back-testing
-func (s *BacktestServiceCSV) QueryKLinesForward(exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int) ([]types.KLine, error) {
+func (s *BacktestServiceCSV) QueryKLinesForward(
+	exchange types.ExchangeName, symbol string, interval types.Interval, startTime time.Time, limit int,
+) ([]types.KLine, error) {
 	// Sample implementation (modify as needed):
 	var result []types.KLine
 
@@ -122,7 +131,9 @@ func (s *BacktestServiceCSV) QueryKLinesForward(exchange types.ExchangeName, sym
 	return result, nil
 }
 
-func (s *BacktestServiceCSV) QueryKLinesBackward(exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int) ([]types.KLine, error) {
+func (s *BacktestServiceCSV) QueryKLinesBackward(
+	exchange types.ExchangeName, symbol string, interval types.Interval, endTime time.Time, limit int,
+) ([]types.KLine, error) {
 	var result []types.KLine
 
 	// Access klines data based on interval
@@ -146,7 +157,9 @@ func (s *BacktestServiceCSV) QueryKLinesBackward(exchange types.ExchangeName, sy
 	return result, nil
 }
 
-func (s *BacktestServiceCSV) QueryKLinesCh(since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval) (chan types.KLine, chan error) {
+func (s *BacktestServiceCSV) QueryKLinesCh(
+	since, until time.Time, exchange types.Exchange, symbols []string, intervals []types.Interval,
+) (chan types.KLine, chan error) {
 	if len(symbols) == 0 {
 		return returnError(errors.Errorf("symbols is empty when querying kline, please check your strategy setting. "))
 	}

pkg/types/csvsource.go

@@ -0,0 +1,40 @@
+package types
+
+type MarketType string
+
+const (
+	MarketTypeSpot    MarketType = "spot"
+	MarketTypeFutures MarketType = "futures"
+)
+
+type MarketDataType string
+
+const (
+	MarketDataTypeTrades    MarketDataType = "trades"
+	MarketDataTypeAggTrades MarketDataType = "aggTrades"
+	// TODO: could be extended to the following:
+
+	// LEVEL2 = 2
+	// https://data.binance.vision/data/futures/um/daily/bookTicker/ADAUSDT/ADAUSDT-bookTicker-2023-11-19.zip
+	// update_id	best_bid_price	best_bid_qty	best_ask_price	best_ask_qty	transaction_time	event_time
+	// 3.52214E+12	0.3772	        1632	        0.3773	        67521	        1.70035E+12	        1.70035E+12
+
+	// METRICS = 3
+	// https://data.binance.vision/data/futures/um/daily/metrics/ADAUSDT/ADAUSDT-metrics-2023-11-19.zip
+	// 	create_time	        symbol	sum_open_interest	sum_open_interest_value	count_toptrader_long_short_ratio	sum_toptrader_long_short_ratio	count_long_short_ratio	sum_taker_long_short_vol_ratio
+	//  19/11/2023 00:00	ADAUSDT	141979878.00000000	53563193.89339590	    2.33412322	                        1.21401178	                    2.46604727	            0.55265805
+
+	// KLINES    MarketDataType = 4
+	// https://public.bybit.com/kline_for_metatrader4/BNBUSDT/2021/BNBUSDT_15_2021-07-01_2021-07-31.csv.gz
+	// only few symbols but supported interval options 1m/ 5m/ 15m/ 30m/ 60m/ and only monthly
+
+	// https://data.binance.vision/data/futures/um/daily/klines/1INCHBTC/30m/1INCHBTC-30m-2023-11-18.zip
+	// supported interval options 1s/ 1m/ 3m/ 5m/ 15m/ 30m/ 1h/ 2h/ 4h/ 6h/ 8h/ 12h/ 1d/ daily or monthly futures
+
+	// this might be useful for backtesting against mark or index price
+	// especially index price can be used across exchanges
+	// https://data.binance.vision/data/futures/um/daily/indexPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
+	// https://data.binance.vision/data/futures/um/daily/markPriceKlines/ADAUSDT/1h/ADAUSDT-1h-2023-11-19.zip
+
+	// OKex or Bybit do not support direct kLine, metrics or level2 csv download
+)