refactor backtest, add BootstrapBacktestEnvironment

config/grid-usdttwd.yaml

@@ -26,7 +26,7 @@ backtest:
   # see here for more details
   # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
   startTime: "2021-01-01"
-  endTime: "2021-01-30"
+  endTime: "2021-01-03"
   symbols:
   - USDTTWD
   account:

pkg/backtest/stream.go

@@ -4,11 +4,13 @@ import (
 	"context"
 	"fmt"
 
-	log "github.com/sirupsen/logrus"
+	"github.com/sirupsen/logrus"
 
 	"github.com/c9s/bbgo/pkg/types"
 )
 
+var log = logrus.WithField("cmd", "backtest")
+
 type Stream struct {
 	types.StandardStream
 
@@ -53,13 +55,17 @@ func (s *Stream) Connect(ctx context.Context) error {
 		s.EmitConnect()
 
 		klineC, errC := s.exchange.srv.QueryKLinesCh(s.exchange.startTime, s.exchange.endTime, s.exchange, symbols, intervals)
+		numKlines := 0
 		for k := range klineC {
 			if k.Interval == types.Interval1m {
 				matching, ok := s.exchange.matchingBooks[k.Symbol]
 				if !ok {
 					log.Errorf("matching book of %s is not initialized", k.Symbol)
+					continue
 				}
+
 				matching.processKLine(k)
+				numKlines++
 			}
 
 			s.EmitKLineClosed(k)
@@ -69,6 +75,10 @@ func (s *Stream) Connect(ctx context.Context) error {
 			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 := s.Close(); err != nil {
 			log.WithError(err).Error("stream close error")
 		}

pkg/cmd/backtest.go

@@ -192,14 +192,10 @@ var BacktestCmd = &cobra.Command{
 		}
 
 		backtestExchange := backtest.NewExchange(exchangeName, backtestService, userConfig.Backtest)
-
 		environ.SetStartTime(startTime)
 		environ.AddExchange(exchangeName.String(), backtestExchange)
-
-		environ.Notifiability = bbgo.Notifiability{
-			SymbolChannelRouter:  bbgo.NewPatternChannelRouter(nil),
-			SessionChannelRouter: bbgo.NewPatternChannelRouter(nil),
-			ObjectChannelRouter:  bbgo.NewObjectChannelRouter(),
+		if err := BootstrapBacktestEnvironment(ctx, environ, userConfig) ; err != nil {
+			return err
 		}
 
 		trader := bbgo.NewTrader(environ)
@@ -214,14 +210,8 @@ var BacktestCmd = &cobra.Command{
 			trader.DisableLogging()
 		}
 
-		if userConfig.RiskControls != nil {
-			log.Infof("setting risk controls: %+v", userConfig.RiskControls)
-			trader.SetRiskControls(userConfig.RiskControls)
-		}
-
-		for _, entry := range userConfig.ExchangeStrategies {
-			log.Infof("attaching strategy %T on %s instead of %v", entry.Strategy, exchangeName.String(), entry.Mounts)
-			trader.AttachStrategyOn(exchangeName.String(), entry.Strategy)
+		if err := trader.Configure(userConfig) ; err != nil {
+			return err
 		}
 
 		if len(userConfig.CrossExchangeStrategies) > 0 {

pkg/cmd/run.go

@@ -79,6 +79,22 @@ func runSetup(baseCtx context.Context, userConfig *bbgo.Config, enableApiServer
 	return nil
 }
 
+
+func BootstrapBacktestEnvironment(ctx context.Context, environ *bbgo.Environment, userConfig *bbgo.Config) error {
+	if err := environ.ConfigureDatabase(ctx); err != nil {
+		return err
+	}
+
+	environ.Notifiability = bbgo.Notifiability{
+		SymbolChannelRouter:  bbgo.NewPatternChannelRouter(nil),
+		SessionChannelRouter: bbgo.NewPatternChannelRouter(nil),
+		ObjectChannelRouter:  bbgo.NewObjectChannelRouter(),
+	}
+
+	return nil
+}
+
+
 func BootstrapEnvironment(ctx context.Context, environ *bbgo.Environment, userConfig *bbgo.Config) error {
 	if err := environ.ConfigureDatabase(ctx); err != nil {
 		return err