lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-27 09:15:15 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

all: fix constant naming and type naming

Browse Source
This commit is contained in:
c9s 2023-12-14 15:08:22 +08:00
parent af1e63f345
commit 29301cbe7f
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
6 changed files with 84 additions and 66 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
pkg/cmd/backtest.go
View File

@ -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]

52
pkg/datasource/csvsource/tick_downloader.go
View File

@ -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,
granularity DataType,
market types.MarketType,
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,
granularity DataType,
market types.MarketType,
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",

16
pkg/datasource/csvsource/tick_downloader_test.go
View File

@ -14,8 +14,8 @@ import (
type DownloadTester struct {
Exchange types.ExchangeName
Reader MakeCSVTickReader
Market MarketType
Granularity DataType
Market types.MarketType
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,
Granularity: AGGTRADES,
Market: types.MarketTypeSpot,
Granularity: types.MarketDataTypeAggTrades,
Symbol: "FXSUSDT",
Path: "testdata/binance/FXSUSDT",
},
{
Exchange: types.ExchangeBybit,
Reader: NewBybitCSVTickReader,
Market: FUTURES,
Granularity: AGGTRADES,
Market: types.MarketTypeFutures,
Granularity: types.MarketDataTypeAggTrades,
Symbol: "FXSUSDT",
Path: "testdata/bybit/FXSUSDT",
},
{
Exchange: types.ExchangeOKEx,
Reader: NewOKExCSVTickReader,
Market: SPOT,
Granularity: AGGTRADES,
Market: types.MarketTypeSpot,
Granularity: types.MarketDataTypeAggTrades,
Symbol: "BTCUSDT",
Path: "testdata/okex/BTCUSDT",
},

8
pkg/datasource/csvsource/types.go
View File

@ -6,13 +6,13 @@ import (
)
type CsvConfig struct {
Market MarketType `json:"market"`
Granularity DataType `json:"granularity"`
Market types.MarketType `json:"market"`
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{

33
pkg/service/backtest_csv.go
View File

@ -16,14 +16,14 @@ import (
type BacktestServiceCSV struct {
kLines map[types.Interval][]types.KLine
path string
market csvsource.MarketType
granularity csvsource.DataType
market types.MarketType
granularity types.MarketDataType
}
func NewBacktestServiceCSV(
path string,
market csvsource.MarketType,
granularity csvsource.DataType,
market types.MarketType,
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. "))
}

40
pkg/types/csvsource.go Normal file
View File

@ -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
)